A Pure-Play Timberland Return Index Based On Securitized Timber Firms

摘要

Based on asset values of different business segments, I derive a pure-play timberland return index using monthly data of public timber firms for the 2010-2014 period. Re-turns on public timber firms are first unleveraged and then regressed on the holding percentages of each firm' assets in timber and non-timberland business segments. The regression provides pureplay portfolios with specified long and short positions in those public timber firms, with a minimum idiosyncratic volatility, that have pure exposure to the timberland business segment and eliminate all exposure to non-timberland segments. Results re-veal that this pure-play index better depicts returns on securitized timberland assets and differs significantly from various NCREIF timberland indices in mean and variance, and that returns of puhlic-market vehicles ol timberland investments tend to lead private ones for about one quarter.