Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

A Dynamic Analysis of Land Prices

Jean-Paul Chavas and Alban Thomas
American Journal of Agricultural Economics
Vol. 81, No. 4 (Nov., 1999), pp. 772-784
Stable URL: http://www.jstor.org/stable/1244323
Page Count: 13
  • Download ($36.00)
  • Subscribe ($19.50)
  • Cite this Item
A Dynamic Analysis of Land Prices
Preview not available

Abstract

A dynamic model of land prices is developed. It derives arbitrage asset prices under nonadditive dynamic preferences, risk aversion, and transaction costs. The model nests as special cases risk neutrality, time-additive preferences, the static capital asset pricing model (CAPM), as well as the dynamic consumption-based CAPM. The model is applied to the analysis of U.S. land prices for the period 1950-96. The econometric results provide evidence showing that U.S. land price patterns are inconsistent with risk neutrality or with the static CAPM model. No strong evidence was found against time-additive preferences. The econometric findings indicate that both risk aversion and transaction costs have significant effects on land prices.

Page Thumbnails

  • Thumbnail: Page 
[772]
    [772]
  • Thumbnail: Page 
773
    773
  • Thumbnail: Page 
774
    774
  • Thumbnail: Page 
775
    775
  • Thumbnail: Page 
776
    776
  • Thumbnail: Page 
777
    777
  • Thumbnail: Page 
778
    778
  • Thumbnail: Page 
779
    779
  • Thumbnail: Page 
780
    780
  • Thumbnail: Page 
781
    781
  • Thumbnail: Page 
782
    782
  • Thumbnail: Page 
783
    783
  • Thumbnail: Page 
784
    784