- Binkley, C.S. and C.L. Washburn. The Diversification Potential of Forestry Investments: A Comment with Examples from the U.S. South. School of Forestry and Environmental Studies, Yale University. 1988.
- Campbell, J.Y. and R.J. Shiller. Cointegration and Tests of Present Value Models. Journal of Political Economy, 1987, 95, 1062–88. Cointegration and Tests of Present Value Models. Journal of Political Economy 95 1062 88
- Cascio, A.J. and M.L. Clutter. Risk and Required Return Assessments of Equity Timberland Investments in the United States. Forest Products Journal, 2008, 58:10, 61–70. Risk and Required Return Assessments of Equity Timberland Investments in the United States. Forest Products Journal 58 61 70
- Chaudhry, M.K., F.C.N. Myer, and J.R. Webb. Stationarity and Cointegration in Systems with Real Estate and Financial Assets. Journal of Real Estate Finance and Economics, 1999, 18:3, 339–49. Stationarity and Cointegration in Systems with Real Estate and Financial Assets. Journal of Real Estate Finance and Economics 18 339 49
- Cheung, Y. and K.S. Lai. Finite-Sample Sizes of Johansen's Likelihood Ratio Tests for Cointegration. Oxford Bulletin of Economics and Statistics, 1993, 55:3, 313–28. Finite-Sample Sizes of Johansen's Likelihood Ratio Tests for Cointegration. Oxford Bulletin of Economics and Statistics 55 313 28
- Chicago Mercantile Exchange. CME Random Length Lumber Futures Data. Chicago Board of Trade, Chicago, IL. 2007.
- Chichernea, D., N. Miller, J. Fisher, M. Sklarz, and B. White. A Cross-Sectional Analysis of Cap Rates by MSA. Journal of Real Estate Research, 2008, 30:3, 249–92. A Cross-Sectional Analysis of Cap Rates by MSA. Journal of Real Estate Research 30 249 92
- Ciochetti, B. and J. Shilling. Loss Recoveries, Realized Excess Returns, and Credit Rationing in the Commercial Mortgage Market. Journal of Real Estate Finance and Economics, 2007, 34, 425–45. Loss Recoveries, Realized Excess Returns, and Credit Rationing in the Commercial Mortgage Market. Journal of Real Estate Finance and Economics 34 425 45
- Draffan, G. Notes on Institutional Ownership of Timber. 2006. (Accessed April 2, 2007.) Available at http://www.endgame.org/timo.html
- Geltner, D. Estimating Market Values from Appraised Values without Assuming an Efficient Market. Journal of Real Estate Research, 1993, 8:3, 325–45. Estimating Market Values from Appraised Values without Assuming an Efficient Market. Journal of Real Estate Research 8 325 45
- Gonzalo, J. Five Alternative Methods of Estimating Long-Run Equilibrium Relationships. Journal of Econometrics, 1994, 60, 203–33. Five Alternative Methods of Estimating Long-Run Equilibrium Relationships. Journal of Econometrics 60 203 33
- Goodman, Jr., J.L. Reducing the Error in Monthly Housing Starts Estimates. Journal of the American Real Estate and Urban Economics Association, 1986, 14:4, 557–66. Reducing the Error in Monthly Housing Starts Estimates. Journal of the American Real Estate and Urban Economics Association 14 557 66
- Granger, C.W. and P. Newbold. Spurious Regressions in Econometrics. Journal of Econometrics, 1974, 2, 111–20. Spurious Regressions in Econometrics. Journal of Econometrics 2 111 20
- Hancock Timber Resource Group. Timberland Investing Overview. 2008. (Accessed November 30, 2008.) Available at http://www.htrg.com/educateinvest.htm
- Hinkelmann, C. and S. Swidler. Trading House Price Risk with Existing Futures Contracts. Journal of Real Estate Finance & Economics, 2008, 36:1, 37–52. Trading House Price Risk with Existing Futures Contracts. Journal of Real Estate Finance & Economics 36 37 52
- Johansen, S. Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 1988, 12, 231–54. Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control 12 231 54
- Johansen, S. Likelihood-Based Inference in Cointegrated Vector Auto-Regressive Models. Oxford, NY: Oxford University Press, 1995. Likelihood-Based Inference in Cointegrated Vector Auto-Regressive Models.
- Johansen, S. Correlation, Regression, and Cointegration of Nonstationary Economic Time-Series. Economics Department Discussion Papers: 07-25 at the University of Copenhagen, 2007, 1–9.
- Johansen, S. and K. Juselius. Maximum Likelihood Estimation and Inference on Cointegration with Applications for the Demand for Money. Oxford Bulletin of Economics and Statistics, 1990, 52, 169–210. Maximum Likelihood Estimation and Inference on Cointegration with Applications for the Demand for Money. Oxford Bulletin of Economics and Statistics 52 169 210
- Jud, G.D. and D.T. Winkler. The Capitalization Rates of Commercial Properties and Market Returns. Journal of Real Estate Research, 1995, 10:5, 509–18. The Capitalization Rates of Commercial Properties and Market Returns. Journal of Real Estate Research 10 509 18
- Karali, B. and W.N. Thurman. Announcement Effects and the Theory of Storage: An Empirical Study of Lumber Futures. Journal of Agricultural Economics, 2009, 40:4, 421– 36. Announcement Effects and the Theory of Storage: An Empirical Study of Lumber Futures. Journal of Agricultural Economics 40 421 36
- Kolari, J.W., D.R. Fraser, and A. Anari. The Effects of Securitization on Mortgage Market Yields: A Cointegration Analysis. Real Estate Economics, 1998, 26:4, 677–93. The Effects of Securitization on Mortgage Market Yields: A Cointegration Analysis. Real Estate Economics 26 677 93
- Koutmos, G. and M. Tucker. Temporal Relationships and Dynamic Interactions Between Spot and Futures Stock Markets. Journal of Futures Markets, 1996, 16, 55–69. Temporal Relationships and Dynamic Interactions Between Spot and Futures Stock Markets. Journal of Futures Markets 16 55 69
- Ling, D. and A. Naranjo. Dedicated REIT Mutual Fund Flows and Performance. Journal of Real Estate Finance & Economics, 2006, 32:4, 409–33. Dedicated REIT Mutual Fund Flows and Performance. Journal of Real Estate Finance & Economics 32 409 33
- Lutkepohl, H., P. Saikkonen, and C. Trenkler. Maximum Eigenvalue Versus Trace Tests for the Cointegrating Rank of a VAR Process. Economic Journal, 2001, 4, 287–310. Maximum Eigenvalue Versus Trace Tests for the Cointegrating Rank of a VAR Process. Economic Journal 4 287 310
- Martikainen, T., J. Perttunen, and V. Puttonen. On the Dynamics of Stock Index Futures and Individual Stock Returns. Journal of Business Finance & Accounting, 1995, 22:1, 87– 100. On the Dynamics of Stock Index Futures and Individual Stock Returns. Journal of Business Finance & Accounting 22 87 100
- National Council of Real Estate Investment Fiduciaries. NCREIF Timberland Index. Available at http://www.ncreif.com/index.phtml.2008
- National Council of Real Estate Investment Fiduciaries. NCREIF Timberland Index: Detailed Performance Quarterly Report, Second Quarter 2008. 2008.
- Pagliari, Jr., J.L., K.A. Scherer, and R.T. Monopoli. Public Versus Private Real Estate Equities: A More Refined Long-Term Comparison. Real Estate Economics, 2005, 33:1, 147–87. Public Versus Private Real Estate Equities: A More Refined Long-Term Comparison. Real Estate Economics 33 147 87
- Perron, P. and R.J. Shiller. Testing the Random Walk Hypothesis: Power Versus Frequency of Observation. Economic Letters, 1985, 18, 381–86. Testing the Random Walk Hypothesis: Power Versus Frequency of Observation. Economic Letters 18 381 86
- Philadelphia Federal Reserve Bank. Livingston Survey. Philadelphia, PA. Available at http://www.philadelphiafed.org/econ/liv./2008
- Phillips, P.C.B. Understanding Spurious Regressions in Econometrics. Journal of Econometrics, 1986, 33:3, 311–40.
- Plazzi, A., W. Torous, and R. Valkanov. The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations. Real Estate Economics, 2008, 36:3, 403–39. The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations. Real Estate Economics 36 403 39
- RC Research, Inc. End of Day Futures. Marietta, GA. Available at http://www.pricedata.comandwww.grainmarketresearch.com/datainstructions.pdf.2008
- Redmond, C.H. and F.W. Cubbage. Portfolio Risk and Returns from Timber Investments. Land Economics, 1988, 64, 325–37. Portfolio Risk and Returns from Timber Investments. Land Economics 64 325 37
- Rucker, R.R., W.N. Thurman, and J.K. Yoder. Estimating the Structure of Market Reaction to News: Information Events and Lumber Futures Prices. Journal of Agricultural Economics, 2005, 87:2, 482–500. Estimating the Structure of Market Reaction to News: Information Events and Lumber Futures Prices. Journal of Agricultural Economics 87 482 500
- Shiller, R.J. The Volatility of Long Term Interest Rates and Expectations Models for Term Structure. Journal of Political Economy, 1979, 87, 1190–1219. The Volatility of Long Term Interest Rates and Expectations Models for Term Structure. Journal of Political Economy 87 1190 1219
- Shiller, R.J. Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? American Economic Review, 1981, 71:3, 421–36. Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? American Economic Review 71 421 36
- Somerville, C.T. Permits, Starts, and Completions: Structural Relationships Versus Real Options. Real Estate Economics, 2001, 29:1, 161–90. Permits, Starts, and Completions: Structural Relationships Versus Real Options. Real Estate Economics 29 161 90
- Stoll, H.R. and R.E. Whaley. Futures and Options: Theory and Applications. Cincinnati, OH: South-Western Publishing, 1993. Futures and Options: Theory and Applications.
- Teplin, A.M. Uses and Abuses of Residential Building Permits in Forecasting Private Housing Starts. Journal of the American Real Estate and Urban Economics Association, 1978, 6:1, 86–104. Uses and Abuses of Residential Building Permits in Forecasting Private Housing Starts. Journal of the American Real Estate and Urban Economics Association 6 86 104
- Tomek, W. and R. Gray. Temporal Relationships among Prices on Commodity Futures Markets: Their Allocative and Stabilizing Roles. American Journal of Agricultural Economics, 1970, 52, 372–80. Temporal Relationships among Prices on Commodity Futures Markets: Their Allocative and Stabilizing Roles. American Journal of Agricultural Economics 52 372 80
- United States Census Bureau. Building Permits Survey. Available at http://www.census.gov/const/www/permitsindex.html
- Washburn, C. Property Index Real Estate Performance Report. National Council of Real Estate Investment Fiduciaries, Second Quarter, 2004, 26.
- Washburn, C.L. and C.S. Binkley. On the Use of Period-Average Stumpage Prices to Estimate Forest Asset Pricing Models. Land Economics, 1990, 66:4, 379–93. On the Use of Period-Average Stumpage Prices to Estimate Forest Asset Pricing Models. Land Economics 66 379 93
- Wurtzebach, C.H., G.R. Mueller, and D. Machi. The Impact of Inflation and Vacancy on Real Estate Returns. Journal of Real Estate Research, 1991, 6:2, 153–68. The Impact of Inflation and Vacancy on Real Estate Returns. Journal of Real Estate Research 6 153 68
- Zinkhan, F.C. Forestry Projects, Modern Portfolio Theory, and Discount Rate Selection. Southern Journal of Applied Forestry, 1988, 12, 132–35. Forestry Projects, Modern Portfolio Theory, and Discount Rate Selection. Southern Journal of Applied Forestry 12 132 35
- Zinkhan, F.C. and K. Mitchell. An Analysis of Timberland from a Modern Portfolio Theory Perspective. Lundy-Fetterman School of Business, Campbell University, Buies Creek, NC, 1988.
Journal of Real Estate Research
Volume 33, 2011 - Issue 1