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Assessing the Investment Performance of Swedish Timberland: A Capital Asset Pricing Model Approach

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  • Tommy Lundgren

Abstract

This paper evaluates the investment performance of Swedish timberland during the last three decades using the Capital Asset Pricing Model (CAPM). Results suggests that Swedish timberland investments show diversification potential and can serve as a hedge against inflation. Furthermore, the analysis suggests that the return on timberland is higher than on investment alternatives in the same risk class. The results are in line with similar studies performed in other countries.

Suggested Citation

  • Tommy Lundgren, 2005. "Assessing the Investment Performance of Swedish Timberland: A Capital Asset Pricing Model Approach," Land Economics, University of Wisconsin Press, vol. 81(3).
    • Handle: RePEc:uwp:landec:v:81:y:2005:i:3:p353-362
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    References listed on IDEAS

    as
    1. Jensen, Michael C, 1969. "Risk, The Pricing of Capital Assets, and the Evaluation of Investment Portfolios," The Journal of Business, University of Chicago Press, vol. 42(2), pages 167-247, April.
    2. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    3. Clair H. Redmond & Frederick W. Cubbage, 1988. "Portfolio Risk and Returns from Timber Asset Investments," Land Economics, University of Wisconsin Press, vol. 64(4), pages 325-337.
    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    5. W. L. Mills, Jr. & William L. Hoover, 1982. "Investment in Forest Land: Aspects of Risk and Diversification," Land Economics, University of Wisconsin Press, vol. 58(1), pages 33-51.
    6. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
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    Cited by:

    1. Andersson, Mats & Gong, Peichen, 2010. "Risk preferences, risk perceptions and timber harvest decisions -- An empirical study of nonindustrial private forest owners in northern Sweden," Forest Policy and Economics, Elsevier, vol. 12(5), pages 330-339, June.
    2. Parajuli, Rajan & Chang, Sun Joseph, 2015. "Real Assets and Inflation: Which Real Assets Hedge Inflation," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205283, Agricultural and Applied Economics Association.
    3. Hyytiainen, Kari & Penttinen, Markku, 2008. "Applying portfolio optimisation to the harvesting decisions of non-industrial private forest owners," Forest Policy and Economics, Elsevier, vol. 10(3), pages 151-160, January.
    4. Jette Bredahl Jacobsen & Frank Jensen & Bo Jellesmark Thorsen, 2018. "Forest Value and Optimal Rotations in Continuous Cover Forestry," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 69(4), pages 713-732, April.
    5. Mats, Andersson & Gong, Peichen, 6. "Risk Preferences, Risk Perceptions and Timber Harvest Decisions – An Empirical Study of NIPF Owners in Northern Sweden," Scandinavian Forest Economics: Proceedings of the Biennial Meeting of the Scandinavian Society of Forest Economics, Scandinavian Society of Forest Economics, issue 42, April.

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    More about this item

    JEL classification:

    • D21 - Microeconomics - - Production and Organizations - - - Firm Behavior: Theory
    • Q23 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Forestry

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