Bin Mei

An Econometric Analysis of US Exports of Forest Products

Abstract Using cointegration analyses, we examined the econometric relationship between the US exports of selected forest products (roundwood, sawnwood, and paper and paper board) and a group of microeconomic factors. Overall, we found a positive impact of economic growth of importing countries on total US export of forest products, but mixed results for exchange rate risk and relative price by model specifications, by exchange rate risk measures, and across forest products.

Transaction-Based Timberland Investment Returns

Using property-level data of 1987 quarter 1–2014 quarter 2 provided by the National Council of Real Estate Investment Fiduciaries (NCREIF), transaction-based timberland indices are constructed via the Heckman procedure. Results show that liquidity of private-equity timberland assets varies with business cycles; variance of transaction-based timberland indices is twice as large as that of the appraisal-based NCREIF Timberland Index; the role of private-equity timberland in a mixed portfolio is overstated by using the appraisal-based index; and the average of estimated ask and bid prices well captures the mean price of identified timberland sales, although timberland sellers reserve higher prices than buyers. (JEL C34, Q23)

On the Determinants of Transaction Frequency of Institutional Commercial Timberland Properties in the United States

Using property-level data (1987Q1–2015Q4) from the National Council of Real Estate Investment Fiduciaries, this study examines the determinants of transaction frequency of institutional commercial timberland properties in the United States. Controlling for both macro- and microlevel factors in a logit regression, the overall financial return of the timberland market, the discrepancy between anticipated sale price and last appraisal value, the superior performance of individual timberland properties over the market average, and geographic locations are found to significantly influence timberland transaction frequency. Aggregate market outlook and growth rate of the national economy are also found to have material impacts on the likelihood of timberland sales. (JEL C34, Q23)

Investor Sentiment and Timberland Investment Returns

Abstract We use the orthogonalized investor sentiment index formed by M. Baker and J. Wurgler (J. Financ. 61(4):1645–1680, 2006) to examine the relationship between investor sentiment and timberlan...