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A Pure-Play Timberland Return Index Based On Securitized Timber Firms

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  • Bin Mei

Abstract

Based on asset values of different business segments, I derive a pure-play timberland return index using monthly data of public timber firms for the 2010–2014 period. Returns on public timber firms are first unleveraged and then regressed on the holding percentages of each firm' assets in timber and non-timberland business segments. The regression provides pure-play portfolios with specified long and short positions in those public timber firms, with a minimum idiosyncratic volatility, that have pure exposure to the timberland business segment and eliminate all exposure to non-timberland segments. Results reveal that this pure-play index better depicts returns on securitized timberland assets and differs significantly from various NCREIF timberland indices in mean and variance, and that returns of public-market vehicles of timberland investments tend to lead private ones for about one quarter.

Suggested Citation

  • Bin Mei, 2015. "A Pure-Play Timberland Return Index Based On Securitized Timber Firms," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 21(1), pages 61-75, January.
    • Handle: RePEc:taf:repmxx:v:21:y:2015:i:1:p:61-75
    DOI: 10.1080/10835547.2015.12089972
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