کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
6544943 | 159854 | 2015 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Assessing forestry-related assets with the intertemporal capital asset pricing model
ترجمه فارسی عنوان
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کلمات کلیدی
موضوعات مرتبط
علوم زیستی و بیوفناوری
علوم کشاورزی و بیولوژیک
جنگلداری
چکیده انگلیسی
The intertemporal capital asset pricing model is used to assess the risk-return relationship between forestry-related assets and innovations in state variables using quarterly returns from 1988Q1 to 2011Q4. Market excess returns and innovations in the small-minus-big and high-minus-low factors, interest rate, term spread, default spread and aggregate consumption explain about 80% of the variation in cross-sectional returns of 16 forestry-related assets. Beta loadings on innovations in high-minus-low, interest rate and term spread induce significant risk premiums, and should be priced to determine the cross-sectional expected returns of the forestry-related assets. In general, average excess returns of the forestry-related assets decrease from the period of 1988Q1-1999Q4 to the period of 2000Q1-2011Q4. Significant positive excess returns are obtained in the first sub-period for private- and public-equity timberland assets but not in the second sub-period. Insignificant excess returns are obtained for forest products and timber products in the whole sample period. The results are robust to different specification tests.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Forest Policy and Economics - Volume 50, January 2015, Pages 192-199
Journal: Forest Policy and Economics - Volume 50, January 2015, Pages 192-199
نویسندگان
Wenjing Yao, Bin Mei,