Comparing the financial performance of timber REITs and other REITs

Piao, Xiaorui; Mei, Bin; Xue, Yuan

doi:10.1016/j.forpol.2016.06.022

Cited by 14 publications

(7 citation statements)

References 28 publications

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“…While farmland REITs retain some investment characteristics of several asset classes, timberland REITs increase the overall exposure to the large-cap stocks, which is consistent with the findings of Piao et al (2016) and Mei (2017). We conclude that timberland REITs offer limited diversification benefits than farmland REITs in a portfolio that consists of large-cap stocks.…”

Section: Discussionsupporting

confidence: 82%

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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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Section: Discussionsupporting

confidence: 82%

Section: Discussionsupporting

confidence: 80%

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

Baral

Mei²

2022

AFR

Self Cite

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“…Another study examined the relationship between real estate stocks and private real estate investments (Devaney and Xiao, 2017). The next important research issue was associated with the exploration of the possibilities of diversifying investment portfolios through real estate investment funds (REIT) (La and Mei, 2015;Piao et al, 2016).…”

Section: Construction Market -Analysis Of Effects On the Economymentioning

confidence: 99%

Comparison on Subannual Seasonality of Building Construction in European Countries

Mach¹,

Zmarzły²,

Dąbrowski³

et al. 2020

ERSJ

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Purpose: The objective of this study involves the determination of cyclical characteristics that occur on the European construction market. Design/Methodology/Approach: In the research implementation process, time-frequency analysis was used to identify and analyze cyclicalities in the construction market. Findings: The results clearly demonstrate the absence of a homogeneous construction market in the investigated countries. The diversity of the European construction market is revealed by the various responses to the periods corresponding to the ups and downs of the economy. Practical Implications: The present research provides grounds for the clear indication of specific countries and cyclical characteristics on the construction market in them to define guidelines suitable for the identification of adequate scenarios for the development of construction markets in them. Originality/value: The conclusion derived from the study is associated with the classification of construction markets and identification of various responses of individual markets to the occurrence of macroeconomic or microeconomic stimuli.

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“…The relations between real estate stock were examined in correlation with private real estate investments (Devaney and Xiao, 2017). A presentation of the opportunities for diversifying the investment portfolio through investment funds in real estate was the next important research topic (REIT) (La and Mei, 2015;Piao, Mei, and Xue, 2016). The paper by (Taderera and Akinsomi, 2020) attempted to answer the question of whether investing in commercial property is a good safeguard against inflation.…”

Section: A Literature Review On the Time-frequency Analysis Within Thmentioning

confidence: 99%

A time-frequency analysis of the housing construction time as the basis for making decisions on the construction market (the case study of Poland)

Mach¹,

Zmarzły²,

Dąbrowski³

et al. 2020

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

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Due to the increasingly complex market situation characterized by the growing variability of its determinants, making accurate decisions is riddled with an increasing risk of error. Widely used economic methods for analyzing market phenomena with a trajectory of time series has proved insufficient in many cases. Hence, it becomes necessary to seek more precise analytic methods, based on which it is be possible to obtain more precise mapping and relations in real-life activities. The goal of the present study is to apply the time-frequency analysis in the domain of real estate. Based on the application of, among others, Savitzky-Golay filtering, spectral density analysis, or cross-correlation, the time-frequency analysis will render it possible to precisely identify the parameters that selectively determine the housing market. The obtained results will make it possible to decrease the informational gap in the investment decision-making process in the housing market

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Comparing the financial performance of timber REITs and other REITs

Cited by 14 publications

References 28 publications

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

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

Comparison on Subannual Seasonality of Building Construction in European Countries

A time-frequency analysis of the housing construction time as the basis for making decisions on the construction market (the case study of Poland)

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