Investor attention and abnormal performance of timberland investments in the United States

We use Internet search volume of timberland related terms to test investor attention on timberland asset pricing. With an innovate measure of investor attention based on Internet search volume, we investigate the empirical implication of Internet information search on timberland asset pricing. Our results reveal that investor attention to the finished wood products market, the global climate change, the emerging biomass market, and the overall manufacturing industry has significant effects on the abnormal returns of timberland investments.

► Private-equity timberland assets have significant abnormal returns. ► A dynamic model is used to generate time-varying abnormal returns. ► Google search volume index is used as a proxy for investor attention. ► Investor attention explains abnormal returns of private-equity timberland assets.