Transaction-based Timberland investment returns

Using property-level data of 1987 quarter 1-2014 quarter 2 provided by the National Council of Real Estate Investment Fiduciaries (NCREIF), transaction-based timberland indices are constructed via the Heckman procedure. Results show that liquidity of private-equity timberland assets varies with business cycles; variance of transaction-based timberland indices is twice as large as that of the appraisal- based NCREIF Timberland Index; the role of private-equity timberland in a mixed portfolio is overstated by using the appraisal-based index; and the average of estimated ask and bid prices well captures the mean price of identified timberland sales, although timberland sellers reserve higher prices than buyers.

Duke Scholars

Author Bin Mei Environmental Sciences and Policy