Return and information transmission of public and private timberland markets in the United States

We examine risk-return characteristics and information transition dynamics of public- and private-equity timberland investments. We first make adjustments in the return data for the influence of financial leverage, management fees, geographic distribution, and non-timberland business segments of public timber REITs, and then apply the augmented capital asset pricing model under a seemingly unrelated regression framework and bivariate vector autoregression models to timberland return indices. Results suggest that timber REITs have higher systematic risk than timberland investment management organizations (TIMOs) and REIT returns help predict TIMO returns. REITs and TIMOs both exhibit positive abnormal returns despite differences in their statistical significance.