Skip to main content

Private-equity commercial real estate, timberland, and farmland: Market integration and information transition dynamics

Publication ,  Journal Article
Mei, B; Wu, W; Yao, W
Published in: Canadian Journal of Forest Research
January 1, 2020

Using data from the National Council of Real Estate Investment Fiduciaries (NCREIF), we examine market integration of commercial real estate and timberland–farmland assets via the Fama–MacBeth two-step approach under the intertemporal capital asset pricing framework. In addition, we study the information transition dynamics between those markets via the vector error correction model (VECM). We find evidence of market segregation and one-way information flow from the timberland– farmland market to the commercial real estate market. We conclude that commercial real estate and timberland–farmland assets are driven by different market fundamentals and that lagged timberland–farmland returns can help predict current commercial real estate returns. The only exception is during market downturns when commercial real estate and timberland– farmland markets are somewhat integrated and driven by some factors that are not specified in this study.

Duke Scholars

Published In

Canadian Journal of Forest Research

DOI

EISSN

1208-6037

ISSN

0045-5067

Publication Date

January 1, 2020

Volume

50

Issue

11

Start / End Page

1101 / 1112

Related Subject Headings

  • Forestry
  • 07 Agricultural and Veterinary Sciences
  • 05 Environmental Sciences
  • 04 Earth Sciences
 

Citation

APA
Chicago
ICMJE
MLA
NLM
Mei, B., Wu, W., & Yao, W. (2020). Private-equity commercial real estate, timberland, and farmland: Market integration and information transition dynamics. Canadian Journal of Forest Research, 50(11), 1101–1112. https://doi.org/10.1139/cjfr-2019-0250
Mei, B., W. Wu, and W. Yao. “Private-equity commercial real estate, timberland, and farmland: Market integration and information transition dynamics.” Canadian Journal of Forest Research 50, no. 11 (January 1, 2020): 1101–12. https://doi.org/10.1139/cjfr-2019-0250.
Mei B, Wu W, Yao W. Private-equity commercial real estate, timberland, and farmland: Market integration and information transition dynamics. Canadian Journal of Forest Research. 2020 Jan 1;50(11):1101–12.
Mei, B., et al. “Private-equity commercial real estate, timberland, and farmland: Market integration and information transition dynamics.” Canadian Journal of Forest Research, vol. 50, no. 11, Jan. 2020, pp. 1101–12. Scopus, doi:10.1139/cjfr-2019-0250.
Mei B, Wu W, Yao W. Private-equity commercial real estate, timberland, and farmland: Market integration and information transition dynamics. Canadian Journal of Forest Research. 2020 Jan 1;50(11):1101–1112.

Published In

Canadian Journal of Forest Research

DOI

EISSN

1208-6037

ISSN

0045-5067

Publication Date

January 1, 2020

Volume

50

Issue

11

Start / End Page

1101 / 1112

Related Subject Headings

  • Forestry
  • 07 Agricultural and Veterinary Sciences
  • 05 Environmental Sciences
  • 04 Earth Sciences