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Comparing the financial performance of timber REITs and other REITs

Publication ,  Journal Article
Piao, X; Mei, B; Xue, Y
Published in: Forest Policy and Economics
November 1, 2016

The return and risk characteristics of three types of Real Estate Investment Trusts (REITs) in the United States are evaluated by the intertemporal capital asset pricing model (CAPM) and the multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model. The three types of REITs are timber REITs, which focus on timberland management; specialized REITs, which focus on properties that are specialized in a single use; and common REITs, which consist of all REITs except specialized REITs. Results from the intertemporal CAPM demonstrate that REITs behave like procyclical small and value stocks. Results from multivariate GARCH model show that the conditional volatilities of REITs rise more after good news and REITs as a whole respond positively to past shocks. Despite being a part of specialized REITs, timber REITs have large market capitalizations and no excess returns, and are insensitive to recessionary shocks. Timber REITs have the smallest unconditional variance and are most vulnerable to idiosyncratic shocks.

Duke Scholars

Published In

Forest Policy and Economics

DOI

ISSN

1389-9341

Publication Date

November 1, 2016

Volume

72

Start / End Page

115 / 121

Related Subject Headings

  • Forestry
  • 1605 Policy and Administration
  • 1402 Applied Economics
  • 0705 Forestry Sciences
 

Citation

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ICMJE
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Piao, X., Mei, B., & Xue, Y. (2016). Comparing the financial performance of timber REITs and other REITs. Forest Policy and Economics, 72, 115–121. https://doi.org/10.1016/j.forpol.2016.06.022
Piao, X., B. Mei, and Y. Xue. “Comparing the financial performance of timber REITs and other REITs.” Forest Policy and Economics 72 (November 1, 2016): 115–21. https://doi.org/10.1016/j.forpol.2016.06.022.
Piao X, Mei B, Xue Y. Comparing the financial performance of timber REITs and other REITs. Forest Policy and Economics. 2016 Nov 1;72:115–21.
Piao, X., et al. “Comparing the financial performance of timber REITs and other REITs.” Forest Policy and Economics, vol. 72, Nov. 2016, pp. 115–21. Scopus, doi:10.1016/j.forpol.2016.06.022.
Piao X, Mei B, Xue Y. Comparing the financial performance of timber REITs and other REITs. Forest Policy and Economics. 2016 Nov 1;72:115–121.
Journal cover image

Published In

Forest Policy and Economics

DOI

ISSN

1389-9341

Publication Date

November 1, 2016

Volume

72

Start / End Page

115 / 121

Related Subject Headings

  • Forestry
  • 1605 Policy and Administration
  • 1402 Applied Economics
  • 0705 Forestry Sciences