Economics at your fingertips  

Comparing the financial performance of timber REITs and other REITs

Xiaorui Piao, Bin Mei and Yuan Xue

Forest Policy and Economics, 2016, vol. 72, issue C, 115-121

Abstract: The return and risk characteristics of three types of Real Estate Investment Trusts (REITs) in the United States are evaluated by the intertemporal capital asset pricing model (CAPM) and the multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model. The three types of REITs are timber REITs, which focus on timberland management; specialized REITs, which focus on properties that are specialized in a single use; and common REITs, which consist of all REITs except specialized REITs. Results from the intertemporal CAPM demonstrate that REITs behave like procyclical small and value stocks. Results from multivariate GARCH model show that the conditional volatilities of REITs rise more after good news and REITs as a whole respond positively to past shocks. Despite being a part of specialized REITs, timber REITs have large market capitalizations and no excess returns, and are insensitive to recessionary shocks. Timber REITs have the smallest unconditional variance and are most vulnerable to idiosyncratic shocks.

Keywords: Asset pricing; Economic evaluation; Forest investments; Time series; Volatility (search for similar items in EconPapers)
JEL-codes: G14 Q23 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
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:

Access Statistics for this article

Forest Policy and Economics is currently edited by M. Krott

More articles in Forest Policy and Economics from Elsevier
Series data maintained by Dana Niculescu ().

Page updated 2017-09-29
Handle: RePEc:eee:forpol:v:72:y:2016:i:c:p:115-121