Analysis of US Agriculture Market with a New Fama-French Three-Factor Model

DOI

10.2991/metss-16.2016.52How to use a DOI?

Keywords

Fama-French 3-factor Model, Standardized Standard Asymmetric Exponential Power Distribution(SSAEPD), EGARCH.

Abstract

In this article, we propose a new Index for Agriculture Output (AOI) in US. Sample period is from 1960 to 2004. Data is analyzed by a new model, which includes 3 factors in Fama and French (1993), the EGARCH-type volatilities in Nelson(1991) and non-Normal errors in Zhu and Zinde-Walsh(2009). This new agriculture index (AOI) is compared with that constructed by Professor Kenneth R. French. LR, KS and AIC are used for testing parameter restrictions, residual check and model comparison, respectively. MLE is used to estimate parameters via Matlab. Empirical results show the Fama-French 3 factors are still alive! The new model can capture the skewness, fat-tailness and the asymmetric kurtosis in returns, which has better in-sample fit.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Hengjia Zhang
AU  - Yanjia Yang
AU  - Jiayi Zhu
AU  - Liuling Li
AU  - Bruce MizrachSi
PY  - 2016/11
DA  - 2016/11
TI  - Analysis of US Agriculture Market with a New Fama-French Three-Factor Model
BT  - Proceedings of the 2016 3rd International Conference on Management, Education Technology and Sports Science (METSS 2016)
PB  - Atlantis Press
SP  - 255
EP  - 258
SN  - 2352-5428
UR  - https://doi.org/10.2991/metss-16.2016.52
DO  - 10.2991/metss-16.2016.52
ID  - Zhang2016/11
ER  -