Farmland Investment Characteristics from a Forward-Looking Perspective: An Explanation for the 'High Return/Low Risk' Paradox

Autor:	Xiaoguang Feng, Dermot J. Hayes
Rok vydání:	2020
Předmět:	Economics and Econometrics Average return Land Values media_common.quotation_subject Perspective (graphical) Economic rent Monetary economics Environmental Science (miscellaneous) Investment (macroeconomics) Cash Forward looking Economics Portfolio media_common
Zdroj:	Land Economics. 96:291-303
ISSN:	1543-8325 0023-7639
Popis:	Land values and cash rents are slow to adjust, and therefore the returns from owning farmland may be time varying and serially correlated. This article investigates a farmland portfolio’s nominal and real returns from a forward-looking perspective, taking into account time-varying return and serial correlation. The results indicate that the attractive average return level observed historically can be attained only over a long investment period. The risk involved in the long investment period, however, is also substantial. As a result, in mixed-asset investment portfolios, the allocations to farmland are much lower than traditional mean-variance optimization implies.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::ad6c495383820fd75f28cd67eb46ce8d https://doi.org/10.3368/le.96.2.291 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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