The impact of biofuels policy on agribusiness stock prices
研究美国生物燃料政策对农业企业股票价格的影响，发现玉米价格上涨对种子、化肥和机械公司股票有正面影响，对肉类公司有负面影响。
Corn markets are important for many industries. These include the seed, fertilizer, meat production/processing and agricultural machinery sectors, all of which are highly concentrated. Oligopoly theory suggests that corn input and field equipment suppliers likely benefit from policies that support corn markets, such as U.S. biofuels policy, while meat companies likely lose. This study investigates the impact of biofuels policy on U.S. agribusiness stock prices. Corn futures prices are found to have a structural change in November 2006, consistent with the expansion of U.S. biofuels policy support. A linear two-factor (S&P500 and corn prices) equilibrium asset pricing model is estimated on two subsamples, one before and one after the estimated change point. Conditional heteroskedasticity in stock returns is accounted for using a GARCH(1,1) model. In the more recent period, corn price increases are found to have positive effects on excess stock returns for seed, fertilizer and machinery companies, while the impact on meat companies is negative. The results may be interpreted as evidence that crop input suppliers gain from U.S. biofuels policies while meat processors lose.