Assessing forestry-related assets with the intertemporal capital asset pricing model

Yao, Wenjing; Mei, Bin

doi:10.1016/j.forpol.2014.06.006

Cited by 14 publications

(5 citation statements)

References 33 publications

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“…Yao et al (2014) applied the arbitrage pricing theory to the NTI and 109 found that it had higher required returns as more risk factors were included. Yao and Mei (2015) claimed 110 D r a f t 6 that the excess returns of both the NTI and the PUBLIC were declining based on the intertemporal capital 111 asset pricing model. 112…”

Section: Introduction 40mentioning

confidence: 99%

Investment returns of US commercial timberland: insights into index construction methods and results

Mei

2017

Can. J. For. Res.

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This study compares different index construction methods of timberland investment returns and evaluates the resulting indices by various asset pricing models. In addition to various NCRIEF indices, I include a de-smoothed index that attempts to restore property market values, a transaction-based index that tracks ex post transaction prices, and a pure-play index that is based on unleveraged returns of public timber firms and only has exposures to the timber segment. The findings are that the appraisal-based timberland index has higher mean and lower volatility compared with the transaction-based timberland index, separate accounts outperform comingled funds in the private timberland market, the pure-play timberland index exhibits higher return and lower risk than the corresponding portfolio of public timber firms, and abnormal performance of timberland asset becomes less significant after controlling for the appraisal smoothing or by using real transaction data. These results can help timberland investors better benchmark their financial performance.

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Section: Introduction 40mentioning

confidence: 99%

Investment returns of US commercial timberland: insights into index construction methods and results

Mei

2017

Can. J. For. Res.

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“…Os resultados gerais encontram amparo nos resultados de trabalhos como os de Ang et al (2006), Bali, Cakici, & Whitelaw, (2011), Boguth & Kuehn, (2013), Yao & Mei, (2015, Demir, Fung, & Lu, (2016), Leite et al (2016) e Vendrame et al (2018). Nesses trabalhos, foi possível identificar que o modelo FF tradicional não é capaz de explicar por completo os retornos, além de a volatilidade idiossincrática ser altamente significativa e negativamente relacionada aos retornos.…”

Section: Resultados Empíricosunclassified

A volatilidade idiossincrática melhora a explicação dos retornos precificáveis?

Conte

Ceretta

2021

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O objetivo desse trabalho foi de investigar se a volatilidade idiossincrática poderia ter capacidade de aprimorar a explicação dos retornos precificáveis. Para tal, fez-se uso do modelo CAPM de Fama & French e, baseado em trabalhos como os de Ang et al. (2006) e Leite et al. (2016), incluiu-se o fator volatilidade. A diferença desse trabalho está na inclusão da volatilidade da carteira bem como no cálculo dessa que foi obtida fazendo uso do modelo GJR-GARCH. O escopo de estudo foi o mercado brasileiro de capitais, entre o período de 2007 e 2017. Os resultados empíricos mostraram que a inclusão da volatilidade aprimora a explicação do modelo CAPM Fama & French, fato evidenciado pelo sensível acréscimo do R² ajustado das regressões. Além disso, notou-se que a volatilidade, quando significativa, teve relação oposta com o retorno. Quando comparadas, notou-se que a volatilidade idiossincrática explicou mais os retornos quando comparada com a volatilidade de mercado, o que indica que as informações da montagem de portfólios e suas oscilações de retornos individuais parecem ser mais importantes que o movimento do mercado como um todo, um resultado que se torna relevante tanto para hedge quanto para a busca de maximização de retornos pelos investidores.

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“…A variety of multi-factor asset pricing models such as the Fama-French three-factor model and the arbitrage pricing theory have been used to examine REIT returns (Yao et al. , 2014; Yao and Mei, 2015; Mei, 2017). However, these studies fell short in explaining the volatility sensitivity of REITs to different asset classes.…”

Section: Methodsmentioning

confidence: 99%

Relationship of public farmland and timberland REITs with their private equity counterparts and selected asset classes

Baral

Mei²

2022

AFR

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PurposeThe purpose of this study is to examine the return sensitivity of public farmland and timberland real estate investment trusts (REITs) to private-equity farmland, timberland and real estate, long-term corporate bonds and large- and small-cap stocks. The study also examines time-dependent contributions of selected asset classes to farmland and timberland REIT volatility.Design/methodology/approachThe authors use a multi-factor asset pricing model under a seemingly unrelated regression framework to evaluate farmland and timberland REIT returns, and a state-space model with the Kalman filter to evaluate the time-dependent contributors of farmland and timberland REIT volatility. The authors first perform orthogonalized regressions to obtain pure independent factors, and then decompose volatility into individual asset components.FindingsSignificant loadings on financial assets are found for both farmland and timberland REITs, suggesting that they are generally driven by some common state variables. Large-cap stocks are found to be the major contributor of farmland and timberland REIT volatility, despite some differing patterns over time.Originality/valueEmpirical analysis of farmland REIT is very scarce. The authors compare the risk-return characteristics of farmland and timberland REITs under a state-space framework with the Kalman filter. This study can improve the understanding of the roles of farmland and timberland REITs in a multi-asset portfolio.

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Assessing forestry-related assets with the intertemporal capital asset pricing model

Cited by 14 publications

References 33 publications

Investment returns of US commercial timberland: insights into index construction methods and results

Investment returns of US commercial timberland: insights into index construction methods and results

A volatilidade idiossincrática melhora a explicação dos retornos precificáveis?

Relationship of public farmland and timberland REITs with their private equity counterparts and selected asset classes

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