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Lumber Futures and Timberland Investment

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Author Info

  • Sherwood Clements

    ()
    (Georgia State University)

  • Alan J. Ziobrowski

    ()
    (Georgia State University)

  • Mark Holder

    ()
    (Kent State University)

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    Abstract

    Using 20 years of data, we derive a pricing model for timberland market values. We examine the relationship between lumber futures, capitalization rates, anticipated inflation, anticipated construction and timberland value. Using an ordinary least squares regression model and Johansen’s cointegration technique, we find that timberland market values have a long-run significant positive equilibrium relationship with lumber futures, and building permits. Capitalization rates have a significant negative relationship as expected. In the short run, unanticipated shocks in the independent variables provide a permanent change in timberland market values.

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    Bibliographic Info

    Article provided by American Real Estate Society in its journal journal of Real Estate Research.

    Volume (Year): 33 (2011)
    Issue (Month): 1 ()
    Pages: 49-72

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    Handle: RePEc:jre:issued:v:33:n:1:2011:p:49-72

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    Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
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    Web page: http://www.aresnet.org/

    Order Information:
    Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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    Web: http://aux.zicklin.baruch.cuny.edu/jrer/about/get.htm

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    Cited by:
    1. Gao, Lei & Mei, Bin, 2013. "Investor attention and abnormal performance of timberland investments in the United States," Forest Policy and Economics, Elsevier, vol. 28(C), pages 60-65.

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