Futures markets and real estate public equity: Connectivity of lumber futures and Timber REITs
Alan Tidwell and
Journal of Forest Economics, 2017, vol. 28, issue C, 70-79
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:foreco:v:28:y:2017:i:c:p:70-79
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