RT Journal Article
SR Electronic
T1 Does Money Grow on Trees? The Diversification Properties of U.S. Timberland Investments
JF Land Economics
JO Land Econ
FD University of Wisconsin Press
SP 514
OP 529
DO 10.3368/le.86.3.514
VO 86
IS 3
A1 Bert Scholtens
A1 Laura Spierdijk
YR 2010
UL http://le.uwpress.org/content/86/3/514.abstract
AB 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. (JEL C14)