Price variation and volume dynamics of securitized timberlands

Changyou Sun

Forest Policy and Economics, 2013, vol. 27, issue C, 44-53

Abstract: An increasing amount of timberlands have been securitized and made available to investors in the form of Master Limited Partnerships (MLPs) or Real Estate Investment Trusts (REITs). In this study, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and extreme value models were utilized to examine price variation and volume dynamics of six firms that have specialized in timberland investment. Total standing shares and average daily turnover rates for the MLPs were smaller than those for the timber REITs. Both the GARCH and extreme value models revealed a positive return–volume relation, which provided a strong empirical support for the mixture-of-distribution hypothesis. During extreme market movements, the MLPs had stronger and more stable return–volume relations than the timber REITs. Asymmetric return–volume relation was identified for the MLPs, while the relation was fairly symmetric for the timber REITs.

Keywords: Conditional variance; Dependence; Extreme value; Threshold; Mixture of distribution (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:forpol:v:27:y:2013:i:c:p:44-53

DOI: 10.1016/j.forpol.2012.09.017

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