Private-equity commercial real estate, timberland, and farmland: market integration and information transition dynamics
Abstract
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.
Résumé
À l’aide des données du Conseil national des fiduciaires en investissement immobilier (NCREIF), nous examinons l’intégration du marché de l’immobilier commercial et des actifs forestiers et agricoles grâce à l’approche en deux étapes de Fama–MacBeth dans le cadre de l’évaluation intemporelle des actifs. De plus, nous étudions la dynamique de transition de l’information entre ces marchés via le modèle de correction d’erreur vectorielle (MCEV). Nous avons trouvé des preuves d’une ségrégation du marché et un flux d’information unidirectionnel de la part du marché des terres forestières et agricoles vers le marché de l’immobilier commercial. Nous concluons que l’immobilier commercial et les actifs forestiers et agricoles sont déterminés par différents principes fondamentaux du marché et les rendements différés des terres forestières et agricoles peuvent aider à prédire les rendements actuels de l’immobilier commercial. La seule exception survient pendant les replis du marché lorsque les marchés de l’immobilier commercial et des terres forestières et agricoles sont partiellement intégrés et déterminés par des facteurs qui ne sont pas pris en compte dans cette étude. [Colour online.]
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Published In
Canadian Journal of Forest Research
Volume 50 • Number 11 • November 2020
Pages: 1101 - 1112
History
Received: 17 July 2019
Accepted: 8 May 2020
Accepted manuscript online: 13 May 2020
Version of record online: 13 May 2020
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© 2020.
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Bin Mei, Wenbo Wu, and Wenjing Yao. 2020. Private-equity commercial real estate, timberland, and farmland: market integration and information transition dynamics. Canadian Journal of Forest Research.
50(11): 1101-1112. https://doi.org/10.1139/cjfr-2019-0250
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