PORTFOLIO ANALYSIS CONSIDERING ESTIMATION RISK AND IMPERFECT MARKETS

Mean-variance efficient portfolio analysis is applied to situations where not all assets are perfectly price elastic in demand nor are asset moments known with certainty. Estimation and solution of such a model are based on an agricultural banking example. The distinction and advantages of a Bayesian formulation over a classical statistical approach are considered. For maximizing expected utility subject to a linear demand curve, a negative exponential utility function gives a mathematical programming problem with a quartic term. Thus, standard quadratic programming solutions are not optimal. Empirical results show important differences between classical and Bayesian approaches for portfolio composition, expected return and measures of risk.Agricultural Finance, Research Methods/ Statistical Methods,

Temporal and spatial evolution of a waxing then waning catastrophic density current revealed by chemical mapping

We reconstruct the behavior of a catastrophic sustained radial pyroclastic density current as it waxed then waned during its brief lifespan. By subdividing the deposit into 8 time slices using a chemical tracer, we show that the sustained current initially was topographically restricted, but that its leading edge advanced in all directions, encroaching upon and gradually ascending hills. During peak flow the current reached its maximum extent and overtopped all topographic highs. After this, and while the current direction from source was maintained, the leading edge gradually retreated sourceward. High-resolution analysis of the depositional architecture reveals how the flow dynamics evolved and runout distance of the sustained density current rapidly increased then decreased, reflecting the dominant influence of changing mass flux, as demonstrated in numerical models but not previously distinguished in a natural deposit

FARM-LEVEL EVIDENCE ON THE RISK BALANCING HYPOTHESIS FROM ILLINOIS GRAIN FARMS

This study provides farm-level empirical support to the Risk-Balancing Hypothesis using Illinois grain farm data. The econometric results indicate that risk-balancing farmers comprise more than half of the sample. These farmers tend to be older, have higher leasing ratios, are less financially efficient and manage risk through crop specialization, enterprise diversification, and marketing strategies in addition to risk balancing.Risk and Uncertainty,

The New Basel Capital Accord: Implications for US Agricultural Lenders

Agricultural Finance,

Research in remote sensing of vegetation

The research topics undertaken were primarily selected to further the understanding of fundamental relationships between electromagnetic energy measured from Earth orbiting satellites and terrestrial features, principally vegetation. Vegetation is an essential component in the soil formation process and the major factor in protecting and holding soil in place. Vegetation plays key roles in hydrological and nutrient cycles. Awareness of improvement or deterioration in the capacity of vegetation and the trends that those changes may indicate are, therefore, critical detections to make. A study of the relationships requires consideration of the various portions of the electromagnetic spectrum; characteristics of detector system; synergism that may be achieved by merging data from two or more detector systems or multiple dates of data; and vegetational characteristics. The vegetation of Oregon is sufficiently diverse as to provide ample opportunity to investigate the relationships suggested above several vegetation types

The cost of systemic corticosteroid-induced morbidity in severe asthma : a health economic analysis

The study data-set was supported by the Respiratory Effectiveness Group through their academic partnership with Optimum Patient Care. Ciaran O'Neill was funded under a HRB Research Leader Award (RL/13/16).Peer reviewedPublisher PD

TESTING THE PECKING ORDER THEORY AND THE SIGNALING THEORY FOR FARM BUSINESSES

Numerous empirical studies in the finance field have tested many theories for firms¡¦ capital structure. Under the assumption of asymmetric information, the pecking order theory proposes the financing order for farm businesses, which implies a negative relationship between their cash flow and leverage. Meanwhile, the signaling theory suggests a farms' financing strategy, meaning high quality farms prefer to facilitate their capital rising by sending diverse signals to potential lenders. Could these capital structure theories be applied for farm businesses? This paper tests the applicability of the pecking order theory and the signaling theory for farm businesses. The results show that farm businesses not only follow the pecking order theory but also the signaling theory. In addition, unlike corporate firms who can choose high leverage as financing signals, farm businesses mainly depend on their large size and good historical operation records to facilitate investment financing.Farm Businesses, Pecking Order Theory, Signaling Theory, Research Methods/ Statistical Methods, Q14,

Signaling Credit Risk in Agriculture: Implications for Capital Structure Analysis

Signaling is an important element in the lender-borrower relationship that influences the cost and availability of debt capital to agricultural borrowers. This paper analyzes the effects of signaling on farm capital structure in conjunction with the pecking order and trade-off theories. The aggregate estimation indicates that signaling does affect agricultural credit relationships through measures of past cash flow and profitability. High-quality borrowers achieve greater credit capacity by providing lenders with valid signals of their financial status, while adjusting toward target debt levels over time and following the pecking order relationship in the short run.farm businesses, pecking order theory, signaling theory, trade-off theory, Agribusiness, Risk and Uncertainty, G11, G32, Q14,

RISK BALANCING USING FARM LEVEL DATA: AN ECONOMETRIC ANALYSIS

In the paper, an econometric model is proposed to test the risk balancing hypothesis using farm level data. For the purpose, a constraint on expected utility maximization with respect to farm financial structure is given. Cluster method is applied to pick out the farms on the efficient frontier under expected utility maximization given risk attitude and actual interest rate. Regression results are given and compared to previous findings. Farm characteristics associated with the risk behaviors of farms with optimal utility are identified and compared with other farms.Risk and Uncertainty,

Credit Scoring Models: A Comparison between Crop and Livestock Farms

This paper uses FBFM (Illinois Farm Business Farm Management Association) data to analyze several key factors in the decision to categorize borrowers into acceptable or problematic and to classify borrowers across five classes. Net worth does not play significant role in the decision process for livestock farms, whereas it is significantly important for crop farms. For livestock farms, tenure ratio is not significant across classes and is generally not significant across categories depending on the cut off point used to describe acceptable or problematic borrower. However, it is significant for crop farms. Working capital to gross farm return, return on farm assets, and asset turnover ratio are all significant for both farm types. The operating expense to gross farm return is not an independent variable for livestock farms whereas an independent and significant variable for crop farms.Financial Economics,