Returns to farm real estate: analysis of an Illinois farmland portfolio
Noland, Kevin L.
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https://hdl.handle.net/2142/15986
Description
Title
Returns to farm real estate: analysis of an Illinois farmland portfolio
Author(s)
Noland, Kevin L.
Issue Date
2010-05-18T18:53:28Z
Director of Research (if dissertation) or Advisor (if thesis)
Schnitkey, Gary D.
Department of Study
Agr & Consumer Economics
Discipline
Agr & Consumer Economics
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
M.S.
Degree Level
Thesis
Date of Ingest
2010-05-18T18:53:28Z
Keyword(s)
Farmland returns
Optimal portfolios
Farmland analysis
Capital asset pricing model (CAPM)
Abstract
Previous research on returns to farmland derived data from aggregate U.S. or regional sources. A distinction of this document is that an actual portfolio of Illinois farms are evaluated. This thesis extends past research by analyzing a longer and more current period. The results suggest that Illinois farmland pays a substantial premium above what is required for systematic risk and that its returns are negatively correlated to most major asset classes. Illinois farmland adds very little risk to a well-diversified portfolio and is a hedge against inflation.
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