Recently, as the international corn price continues to rise it might be burdensome for the domestic feed industry who use the corn as a major input. The feed industry has raised the feed prices by 15~20% along with the price increase. The higher corn price and increased volatility should affect the profitability of feed companies and the value of the companies listed in the stock market. It is interesting to know whether the corn price increases hurt the feed companies as much as livestock farms as the feed prices rises. This study seeks to determine the effects of the price of corn prices on the equity prices of feed companies in Korea using the multivariate GARCH-in-mean model. The model also includes the exchange rate and freight rates to see how the market responses to these important factors affecting the profitability of the industry. The results show that the size and direction of impacts of those factors are somewhat different, suggesting separate hedge plans for the feed companies and strategies for stabilizing feed price.