Current issue: 58(5)
Select issue
Silva Fennica 1926-1997
1990-1997
1980-1989
1970-1979
1960-1969
1950-1959
1940-1949
1926-1939
Acta Forestalia Fennica
1992-1999
1984-1991
1974-1983
1968-1973
1953-1968
1933-1952
1913-1932
Articles containing the keyword 'co-integration'
Category : Research article
article id 645,
category
Research article
(2000).
Market model with long-term effects – empirical evidence from Finnish forestry returns.
Silva Fennica
vol.
34
no.
1
article id 645.
https://doi.org/10.14214/sf.645
Abstract |
View details
|
Full text in PDF |
Author Info
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.
-
Heikkinen,
Helsinki School of Economics, P.O. Box 1210, FIN-00101 Helsinki, Finland
E-mail:
vheikkin@hkkk.fi
- Kanto, Helsinki School of Economics, P.O. Box 1210, FIN-00101 Helsinki, Finland E-mail: ak@nn.fi
Click this link to register to Silva Fennica.
If you are a registered user, log in to save your selected articles for later access.
Your selected articles
Silva Fennica ·
Finnish Society of Forest Science
