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Does Money Grow on Trees? The Diversification Properties of U.S. Timberland Investments

  • Bert Scholtens
  • Laura Spierdijk

This paper quantifies the diversification potential of timberland investments in a mean-variance framework. The starting point is a broad set of benchmark assets represented by various indexes. Including publicly traded timberland investments in the portfolio does not significantly increase mean-variance efficiency. At first sight, U.S. private equity timberland seems to improve the mean-variance frontier, even if the portfolio already contains a forestry and paper equity index. However, after removing the appraisal smoothing bias from the raw timberland data, there is much less evidence that private equity timberland investments increase mean-variance efficiency.

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File URL: http://le.uwpress.org/cgi/reprint/86/3/514
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Article provided by University of Wisconsin Press in its journal Land Economics.

Volume (Year): 86 (2010)
Issue (Month): 3 ()
Pages:

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Handle: RePEc:uwp:landec:v:86:y:2010:iii:1:p514-529
Contact details of provider: Web page: http://le.uwpress.org/

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  1. Changyou Sun & Daowei Zhang, 2001. "Assessing the Financial Performance of Forestry-Related Investment Vehicles: Capital Asset Pricing Model vs. Arbitrage Pricing Theory," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 83(3), pages 617-628.
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