PT  - JOURNAL ARTICLE
AU  - Feng, Xiaoguang
AU  - Hayes, Dermot J.
TI  - Farmland Investment Characteristics from a Forward-Looking Perspective: An Explanation for the “High Return/Low Risk” Paradox
AID  - 10.3368/le.96.2.291
DP  - 2020 Mar 01
TA  - Land Economics
PG  - 291--303
VI  - 96
IP  - 2
4099  - http://le.uwpress.org/content/96/2/291.short
4100  - http://le.uwpress.org/content/96/2/291.full
SO  - Land Econ2020 Mar 01; 96
AB  - Land values and cash rents are slow to adjust, and therefore the returns from owning farmland may be time varying and serially correlated. This article investigates a farmland portfolio’s nominal and real returns from a forward-looking perspective, taking into account time-varying return and serial correlation. The results indicate that the attractive average return level observed historically can be attained only over a long investment period. The risk involved in the long investment period, however, is also substantial. As a result, in mixed-asset investment portfolios, the allocations to farmland are much lower than traditional mean-variance optimization implies. (JEL Q15)