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Handbook of Financial Econometrics and Statistics

Pricing commercial timberland returns in the united states

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Mei, B; Clutter, ML
January 1, 2015

Commercial timberland assets have attracted more attention in recent decades.One unique feature of this asset class roots in the biological growth, which is independent of traditional financial markets. Using both parametric and nonparametric approaches, we evaluate private- and public-equity timberland investments in the United States. Private-equity timberland returns are proxied by the NCREIF Timberland Index, whereas public-equity timberland returns are proxied by the value-weighted returns on a dynamic portfolio ofthe US publicly traded forestry firms that had or have been managing timberlands. The results from parametric analysis reveal that private-equity timberland investments outperform the market and have low systematic risk, whereas public-equity timberland investments fare similarly as the market. The nonparametric stochastic discount factor analyses reveal that both private- and public-equity timberland assets have higher excess returns.

Duke Scholars

DOI

ISBN

9781461477495

Publication Date

January 1, 2015

Start / End Page

957 / 976
 

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Mei, B., & Clutter, M. L. (2015). Pricing commercial timberland returns in the united states. In Handbook of Financial Econometrics and Statistics (pp. 957–976). https://doi.org/10.1007/978-1-4614-7750-1_34
Mei, B., and M. L. Clutter. “Pricing commercial timberland returns in the united states.” In Handbook of Financial Econometrics and Statistics, 957–76, 2015. https://doi.org/10.1007/978-1-4614-7750-1_34.
Mei B, Clutter ML. Pricing commercial timberland returns in the united states. In: Handbook of Financial Econometrics and Statistics. 2015. p. 957–76.
Mei, B., and M. L. Clutter. “Pricing commercial timberland returns in the united states.” Handbook of Financial Econometrics and Statistics, 2015, pp. 957–76. Scopus, doi:10.1007/978-1-4614-7750-1_34.
Mei B, Clutter ML. Pricing commercial timberland returns in the united states. Handbook of Financial Econometrics and Statistics. 2015. p. 957–976.
Journal cover image

DOI

ISBN

9781461477495

Publication Date

January 1, 2015

Start / End Page

957 / 976