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Investment returns of US commercial timberland: Insights into index construction methods and results

Publication ,  Journal Article
Mei, B
Published in: Canadian Journal of Forest Research
January 1, 2017

This study compares different index construction methods of timberland investment returns and evaluates the resulting indices by various asset pricing models. In addition to various NCRIEF indices, I include a de-smoothed index that attempts to restore property market values, a transaction-based index that tracks ex post transaction prices, and a pure-play index that is based on unleveraged returns of public timber firms and only has exposures to the timber segment. The findings are that the appraisal-based timberland index has higher mean and lower volatility compared with the transaction-based timberland index, separate accounts outperform comingled funds in the private timberland market, the pure-play timberland index exhibits higher return and lower risk than the corresponding portfolio of public timber firms, and abnormal performance of timberland asset becomes less significant after controlling for the appraisal smoothing or by using real transaction data. These results can help timberland investors better benchmark their financial performance.

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Published In

Canadian Journal of Forest Research

DOI

EISSN

1208-6037

ISSN

0045-5067

Publication Date

January 1, 2017

Volume

47

Issue

2

Start / End Page

226 / 233

Related Subject Headings

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

Citation

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Mei, B. (2017). Investment returns of US commercial timberland: Insights into index construction methods and results. Canadian Journal of Forest Research, 47(2), 226–233. https://doi.org/10.1139/cjfr-2016-0186
Mei, B. “Investment returns of US commercial timberland: Insights into index construction methods and results.” Canadian Journal of Forest Research 47, no. 2 (January 1, 2017): 226–33. https://doi.org/10.1139/cjfr-2016-0186.
Mei B. Investment returns of US commercial timberland: Insights into index construction methods and results. Canadian Journal of Forest Research. 2017 Jan 1;47(2):226–33.
Mei, B. “Investment returns of US commercial timberland: Insights into index construction methods and results.” Canadian Journal of Forest Research, vol. 47, no. 2, Jan. 2017, pp. 226–33. Scopus, doi:10.1139/cjfr-2016-0186.
Mei B. Investment returns of US commercial timberland: Insights into index construction methods and results. Canadian Journal of Forest Research. 2017 Jan 1;47(2):226–233.

Published In

Canadian Journal of Forest Research

DOI

EISSN

1208-6037

ISSN

0045-5067

Publication Date

January 1, 2017

Volume

47

Issue

2

Start / End Page

226 / 233

Related Subject Headings

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