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Evaluating market efficiency of the US forest industry

Publication ,  Journal Article
La, L; Mei, B
Published in: Forest Products Journal
January 1, 2013

The market efficiency of the US forest industry had evolved over the past decade. In this study, the entropy measurement, an econophysic approach, was applied to quantify the informational efficiency of timber real estate investment trusts (REITs), wood, furniture, and paper markets in the United States during the period from 1999 to 2012. In a relative context, indices on Treasury bonds were used to proxy the risk-free rate of returns, while Standard and Poor's (SandP) 500 stock returns were used as a yardstick for risky investments. The analysis indicated that the forest markets were considerably more informationally efficient than the Treasury market. Furthermore, most markets were marginally more efficient compared with the S&P 500 index, with the exception of REIT returns. Therefore, better arbitrage opportunities were present in REIT investments. © Forest Products Society 2013.

Duke Scholars

Published In

Forest Products Journal

DOI

ISSN

0015-7473

Publication Date

January 1, 2013

Volume

63

Issue

7-8

Start / End Page

232 / 237

Related Subject Headings

  • Forestry
  • 3007 Forestry sciences
  • 0705 Forestry Sciences
  • 0305 Organic Chemistry
 

Citation

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La, L., & Mei, B. (2013). Evaluating market efficiency of the US forest industry. Forest Products Journal, 63(7–8), 232–237. https://doi.org/10.13073/FPJ-D-13-00072
La, L., and B. Mei. “Evaluating market efficiency of the US forest industry.” Forest Products Journal 63, no. 7–8 (January 1, 2013): 232–37. https://doi.org/10.13073/FPJ-D-13-00072.
La L, Mei B. Evaluating market efficiency of the US forest industry. Forest Products Journal. 2013 Jan 1;63(7–8):232–7.
La, L., and B. Mei. “Evaluating market efficiency of the US forest industry.” Forest Products Journal, vol. 63, no. 7–8, Jan. 2013, pp. 232–37. Scopus, doi:10.13073/FPJ-D-13-00072.
La L, Mei B. Evaluating market efficiency of the US forest industry. Forest Products Journal. 2013 Jan 1;63(7–8):232–237.

Published In

Forest Products Journal

DOI

ISSN

0015-7473

Publication Date

January 1, 2013

Volume

63

Issue

7-8

Start / End Page

232 / 237

Related Subject Headings

  • Forestry
  • 3007 Forestry sciences
  • 0705 Forestry Sciences
  • 0305 Organic Chemistry