%0 Research article
%T Market model with long-term effects – empirical evidence from Finnish forestry returns
%A Heikkinen, Veli-Pekka
%A Kanto, Antti
%D 2000
%J Silva Fennica
%V 34
%N 1
%R doi:10.14214/sf.645
%U https://silvafennica.fi/article/645
%X The aim of the study is to reformulate the conventional market model by  considering also long-run characteristics of forestry returns. Finnish  stumpage prices and the stock market index are found co-integrated.  Co-integration relationship between timber and stock market indicates  that there are factors in timber market like high transaction costs,  illiquidity or temporal lack of information, and in the Finnish case,  price recommendations that are priced by market. The presence of  long-run effects may make the short-term market model mis-specified and  it may give misleading and incomplete results concerning the expected  risk and return of forestry. In our case, the market model risk beta was  only slightly biased. This study indicates that an error-correction  model is more appropriate model than the market model.