Analysis of US Agriculture Market with a New Fama-French Three-Factor Model
- 10.2991/metss-16.2016.52How to use a DOI?
- Fama-French 3-factor Model, Standardized Standard Asymmetric Exponential Power Distribution(SSAEPD), EGARCH.
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.
- © 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/).
Cite this article
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 -