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Impact of Bovine Spongiform Encephalopathy on Agribusiness in the United Kingdom: Results of an Event Study of Equity Prices
Author(s) -
Henson Spencer,
Mazzocchi Mario
Publication year - 2002
Publication title -
american journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.949
H-Index - 111
eISSN - 1467-8276
pISSN - 0002-9092
DOI - 10.1111/1467-8276.00304
Subject(s) - agribusiness , bovine spongiform encephalopathy , distributed lag , equity (law) , autoregressive model , economics , econometrics , benchmark (surveying) , business , agriculture , biology , medicine , prion protein , ecology , disease , political science , law , geodesy , geography
This article assesses the impact on agribusinesses of the United Kingdom Government's announcement of a possible link between Bovine Spongiform Encephalopathy and human health. Three approaches are employed to derive benchmark models against which abnormal returns are estimated, a simple market model, Scholes‐Williams approach, and an autoregressive distributed lag model. Abnormal returns are estimated for single firms and for subsectors over an eight‐day event window. The autoregressive distributed lag model performs best and indicates significant negative abnormal returns in the beef, pet food, animal feed, and dairy sectors and positive abnormal returns in the other meats sector.