This study investigates the dynamics of agribusiness stock returns and the market return for 22 firms in a switching-regression framework. Threshold levels and regression slopes are estimated and tested. Results indicate how parameters differ for alternative regimes, at what levels dynamic adjustments take place, and the adjustment time involved.Marketing,

Featherstone, Allen M.

Kastens, Terry L.

Wilson, Christine A.

English

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THRESHOLD EFFECTS IN FOOD AND AGRIBUSINESS STOCK PRICE MARKETS

THRESHOLD EFFECTS IN FOOD AND AGRIBUSINESS STOCK PRICE MARKETS

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