Skip to main content
Journal cover image

On the performance of Timberland as an alternative asset

Publication ,  Journal Article
Mei, B
Published in: Journal of Forest Economics
March 30, 2022

The financial performance of timberland as an alternative asset is assessed by the intertemporal capital asset pricing model and Fama-MecBeth two-step regression method. In the analysis, alternative assets include emerging markets, hedge funds, private equity, venture capital, commodities, real estate, farmland and timberland; conventional assets include S&P 500 Index, Dow Jones Index, first, fourth, seventh, and tenth decile size portfolios of NYSE, AMEX, and NASDAQ listed stocks, 5- and 10-year Treasury bonds, and long-term AAA and BAA corporate bonds; and risk factors include market excess returns, term spread, default spread, personal consumption expenditures and inflation. Timberland return is found to be countercyclical, positively correlated with innovations in default spread, personal consumption expenditures and inflation, and negatively correlated with innovations in term spread. On a risk-adjusted basis, timberland shows superior performance than stocks and most other alternative assets. There is also evidence that alternative asset market is not integrated with conventional asset market as the risk premiums for these two asset groups differ significantly.

Duke Scholars

Published In

Journal of Forest Economics

DOI

EISSN

1618-1530

ISSN

1104-6899

Publication Date

March 30, 2022

Volume

37

Issue

2

Start / End Page

169 / 184

Related Subject Headings

  • Forestry
  • 1499 Other Economics
  • 1402 Applied Economics
  • 0705 Forestry Sciences
 

Citation

APA
Chicago
ICMJE
MLA
NLM
Mei, B. (2022). On the performance of Timberland as an alternative asset. Journal of Forest Economics, 37(2), 169–184. https://doi.org/10.1561/112.00000539
Mei, B. “On the performance of Timberland as an alternative asset.” Journal of Forest Economics 37, no. 2 (March 30, 2022): 169–84. https://doi.org/10.1561/112.00000539.
Mei B. On the performance of Timberland as an alternative asset. Journal of Forest Economics. 2022 Mar 30;37(2):169–84.
Mei, B. “On the performance of Timberland as an alternative asset.” Journal of Forest Economics, vol. 37, no. 2, Mar. 2022, pp. 169–84. Scopus, doi:10.1561/112.00000539.
Mei B. On the performance of Timberland as an alternative asset. Journal of Forest Economics. 2022 Mar 30;37(2):169–184.
Journal cover image

Published In

Journal of Forest Economics

DOI

EISSN

1618-1530

ISSN

1104-6899

Publication Date

March 30, 2022

Volume

37

Issue

2

Start / End Page

169 / 184

Related Subject Headings

  • Forestry
  • 1499 Other Economics
  • 1402 Applied Economics
  • 0705 Forestry Sciences