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Institutional Portfolios: Diversification through Farmland Investment

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  • David A. Lins
  • Bruce J. Sherrick
  • Aravind Venigalla
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    Abstract

    This article demonstrates that farmland can enhance the overall performance of institutional portfolios which are currently dominated by stocks, bonds, and business real estate. Unlike previous articles on farmland returns, this article addresses the issue of "smoothing bias" associated with appraisal-based farmland returns. Improved measures of income returns to farmland are also used in developing the estimates of optimal portfolios. Parametric testing revealed that farmland continues to enter the optimal portfolios even for large increases in the variance or for large reductions in the annual returns to farmland. Copyright American Real Estate and Urban Economics Association.

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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1540-6229.00596
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    Bibliographic Info

    Article provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.

    Volume (Year): 20 (1992)
    Issue (Month): 4 ()
    Pages: 549-571

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    Handle: RePEc:bla:reesec:v:20:y:1992:i:4:p:549-571

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    Cited by:
    1. Waggle, Doug & Johnson, Don T., 2009. "An analysis of the impact of timberland, farmland and commercial real estate in the asset allocation decisions of institutional investors," Review of Financial Economics, Elsevier, vol. 18(2), pages 90-96, April.
    2. Hennings, Enrique & Sherrick, Bruce J. & Barry, Peter J., 2005. "Portfolio Diversification Using Farmland Investments," 2005 Annual meeting, July 24-27, Providence, RI 19273, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Johnson, Michael & Malcolm, Bill & O'Connor, Ian, 2006. "The Role of Agribusiness Assets in Investment Portfolios," Australasian Agribusiness Review, University of Melbourne, Melbourne School of Land and Environment, vol. 14.
    4. Eves, Chris, 2010. "NSW Rural land performance: 1990-2008," Australasian Agribusiness Review, University of Melbourne, Melbourne School of Land and Environment, vol. 18.
    5. Johnson, Michael & O'Connor, Ian & Malcolm, Bill, 2006. "Agribusiness Assets in Investment Portfolios," 2006 Conference (50th), February 8-10, 2006, Sydney, Australia 139794, Australian Agricultural and Resource Economics Society.
    6. Mark A. Sunderman & Ronald W. Spahr & John W. Birch & Russell M. Oster, 2000. "Impact of Ranch and Market Factors on an Index of Agricultural Holding Period Returns," Journal of Real Estate Research, American Real Estate Society, vol. 19(2), pages 209-234.

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