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Portfolio diversification through timber real estate investment trusts: A cointegration analysis

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  • La, Le
  • Mei, Bin

Abstract

Investors who are interested in long-term investments have regarded timberland as an advantageous asset class. The formation of timber real estate investment trusts (REITs) has offered both individual and institutional investors more options to diversify their portfolios through securitized timberlands. Nevertheless, different mixes of REIT stocks will yield various degrees of volatility for the portfolio's performances. The cointegration analyses in this study show that there are no general trends among the historical timber REIT stock prices and the S&P 500 index. Therefore, there is diversification potential in the long run with each timber REIT (except Plum Creek) considered as a unique candidate.

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  • La, Le & Mei, Bin, 2015. "Portfolio diversification through timber real estate investment trusts: A cointegration analysis," Forest Policy and Economics, Elsevier, vol. 50(C), pages 269-274.
    • Handle: RePEc:eee:forpol:v:50:y:2015:i:c:p:269-274
    DOI: 10.1016/j.forpol.2014.07.003
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    Cited by:

    1. Mei, Bin, 2019. "Timberland investments in the United States: A review and prospects," Forest Policy and Economics, Elsevier, vol. 109(C).
    2. Restrepo, Hector & Zhang, Weiyi & Mei, Bin, 2020. "The time-varying role of timberland in long-term, mixed-asset portfolios under the mean conditional value-at-risk framework," Forest Policy and Economics, Elsevier, vol. 113(C).
    3. Banaś, Jan & Šafařík, Dalibor & Utnik-Banaś, Katarzyna & Hlaváčková, Petra, 2022. "Identifying long-run and short-run relationships in the European Union softwood market," Forest Policy and Economics, Elsevier, vol. 143(C).
    4. Mei, Bin & Clutter, Michael L., 2020. "Return and information transmission of public and private timberland markets in the United States," Forest Policy and Economics, Elsevier, vol. 113(C).
    5. Samitas, Aristeidis & Papathanasiou, Spyros & Koutsokostas, Drosos & Kampouris, Elias, 2022. "Are timber and water investments safe-havens? A volatility spillover approach and portfolio hedging strategies for investors," Finance Research Letters, Elsevier, vol. 47(PA).
    6. Lukasz Mach & Dariusz Zmarzly & Ireneusz Dabrowski & Pawel Fracz, 2020. "Comparison on Subannual Seasonality of Building Construction in European Countries," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 241-257.
    7. Piao, Xiaorui & Mei, Bin & Xue, Yuan, 2016. "Comparing the financial performance of timber REITs and other REITs," Forest Policy and Economics, Elsevier, vol. 72(C), pages 115-121.
    8. Clements, Sherwood & Tidwell, Alan & Jin, Changha, 2017. "Futures markets and real estate public equity: Connectivity of lumber futures and Timber REITs," Journal of Forest Economics, Elsevier, vol. 28(C), pages 70-79.
    9. Meng Lin, 2022. "The Conflict between Technology and Scale: Evidence from China’s Wooden Furniture Industry," Sustainability, MDPI, vol. 15(1), pages 1-15, December.

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