EconPapers    
Economics at your fingertips  
 

Futures markets and real estate public equity: Connectivity of lumber futures and Timber REITs

Sherwood Clements, Alan Tidwell and Changha Jin

Journal of Forest Economics, 2017, vol. 28, issue C, 70-79

Abstract: This paper investigates connectivity between lumber futures contracts, Timberland REITs, the FTSE NAREIT U.S. REIT index, spot prices, and timberland capitalization rates, and contributes to this tranche of research by empirically linking the price discovery process of Timberland Real Estate Investment Trusts to lumber futures. We employ VEC and GARCH models, providing evidence that lumber futures have a positive significant long- and short-run equilibrium relationship with publicly traded Timber REIT prices, connecting a specific futures commodity with its theoretically entwined real estate equity index. As such, exogenous factors that influence Timber REIT prices are documented leading to possible diversification/risk reduction strategies.

Keywords: Lumber futures; Spot prices; Timber REITs; Capitalization rates (search for similar items in EconPapers)
JEL-codes: C32 G13 Q23 R32 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1104689917301186
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:foreco:v:28:y:2017:i:c:p:70-79

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/journaldescription.cws_home/701775/bibliographic
http://www.elsevier. ... 701775/bibliographic

Access Statistics for this article

Journal of Forest Economics is currently edited by P. Gong and R. Brännlund

More articles in Journal of Forest Economics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-04-06
Handle: RePEc:eee:foreco:v:28:y:2017:i:c:p:70-79