Impact of Bovine Spongiform Encephalopathy on Agribusiness in the United Kingdom: Results of an Event Study of Equity Prices

Posted: 23 Dec 2002

See all articles by Spencer Henson

Spencer Henson

University of Guelph - Department of Agricultural Economics and Business

Mario Mazzocchi

University of Bologna

Abstract

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.

Suggested Citation

Henson, Spencer and Mazzocchi, Mario, Impact of Bovine Spongiform Encephalopathy on Agribusiness in the United Kingdom: Results of an Event Study of Equity Prices. American Journal of Agricultural Economics, Vol. 84, pp. 370-386, 2002. Available at SSRN: https://ssrn.com/abstract=312044

Spencer Henson (Contact Author)

University of Guelph - Department of Agricultural Economics and Business ( email )

Guelph, N1G 2W1, Ontario
Canada

Mario Mazzocchi

University of Bologna ( email )

Department of Statistics
Via Belle Arti 41
40126 Bologna
Italy
+39 051 23.21.53 (Fax)

HOME PAGE: http://www2.stat.unibo.it/mazzocchi

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