Private-Equity Commercial Real Estate, Timberland, and Farmland: Market Integration and Information Transition Dynamics
Using data from the National Council of Real Estate Investment Fiduciaries (NCREIF), we examine market integration of commercial real estate and timberland–farmland assets via the Fama–MacBeth two-step approach under the intertemporal capital asset pricing framework. In addition, we study the information transition dynamics between those markets via the vector error correction model (VECM). We find evidence of market segregation and one-way information flow from the timberland–farmland market to the commercial real estate market. We conclude that commercial real estate and timberland–farmland assets are driven by different market fundamentals and that lagged timberland–farmland returns can help predict current commercial real estate returns. The only exception is during market downturns when commercial real estate and timberland–farmland markets are somewhat integrated and driven by some factors that are not specified in this study.
Canadian Science Publishing
Mei, B., Wu, W., & Yao, W. (2020). Private-equity commercial real estate, timberland, and farmland: Market integration and information transition dynamics. Canadian Journal of Forest Research, 50(11), 1101-1112. http://doi.org/10.1139/cjfr-2019-0250
Canadian Journal of Forest Research