ABSTRACT
There has been massive investment in agricultural assets including farmland, handling and trading, technology, fertilizer, and others. A number of studies have analyzed investing in farmland, but there has been limited focus on investing in non-farmland agricultural assets. This article analyzes the role of farmland and other agricultural investments in class-specific portfolios.We use a Mean-Value at Risk (MVaR) model with restrictions to find, compare, and contrast the optimal portfolio composition among U.S. farmland, agricultural equities and grain futures. Copulas are used to account for non-normal distributions and asymmetric dependence relationships. The results illustrate that farmland is attractive as an investment. However, as risk tolerance is increased, a shift to other agricultural assets would bring greater returns. [EconLit Citations: G110, C150, D810] .C  2014 Wiley Periodicals, Inc.

Tracking the Evolution of Idiosyncratic Risk
and Cross-Sectional Expected Returns for US REITs
Nusret Cakici & Isil Erol & Dogan Tirtiroglu
Published online: 17 March 2013

Abstract

This paper adopts the methodology in Bali and Cakici (Journal of
Financial & Quantitative Analysis, 43, 29–58, 2008) in tracking the evolution
of the relation between equity REITs’ idiosyncratic risk and their cross-sectional
expected returns between 1981 and 2010. In addition to the full sample period,
we study this relation for (i) January 1981–December 1992, (ii) January 1993–
September 2001, (iii) November 2001–August 2008 and (iv) November 2001–
December 2010 and produce empirical results for (i) all sample REITs, (ii)
REITs with a price greater than $10 or (iii) REITs with a price greater than $5.
Each period represents different dynamics (including the Global Financial
Crisis) in the life of the REIT industry and leads to a different hypothesis.
Further, we present comparative results based on the Fama-French 3- and 4-
factor models. Overall, we document a negative relation between idiosyncratic
risk and cross-sectional expected returns and demonstrate that this negative
relation changes over time. These findings amplify the “idiosyncratic volatility
puzzle,” as reported in the recent finance literature. Interestingly, REITs with a
price of $5-to-$10 do well in 2009 and 2010. Further, the momentum factor
appears to be influential since the first-ever listing of a REIT in the S&P500
Index in early October 2001.

Is Farm Real Estate The Next Bubble?
Brett C. Olsen & Jeffrey R. Stokes
Published online: 28 May 2014

Abstract The recent increase in farmland prices leads many to conjecture that a price
bubble exists. A dataset of Iowa farmland prices for three grades of quality over the last
60 years is examined to address the question whether the conditions for a rational
expectations bubble are evident. An abnormal component in the change in farmland
prices is found during the most recent sub-period of the sample. A novel valuation
model that measures the speculative component of farmland value as a function of cash
rents shows no speculative component is present. An additional test of the time series
characteristics of the data provides no evidence of negative duration dependence.
However, analysis of transition probabilities shows asymmetry exists most notably in
the low quality farmland data series. Finally, time irreversibility is shown to be present
at different lags for only the lowest farmland quality grade. Overall, the results imply
that the low quality grade farmland is the most likely candidate to exhibit the conditions
necessary to support a rational expectations bubble. In general, however, the data offer
weak support of a bubble in farmland prices.

Illiquidity Risk in Non-Listed Funds: Evidence
from REIT Fund Exits and Redemption Suspensions
Jonathan A. Wiley
Published online: 21 April 2013

Abstract

Managerial incentives are skewed in non-listed funds under finite horizons.
Compensation structures are only indirectly related to shareholder wealth maximization
when share prices are unobservable. Liquidity options for investors are limited in the
absence of an exchange listing. Using a hand-collected database for public non-listed
REITs, an empirical sequence considers the impact of management compensation
contracts on equity fundraising and success in capital deployment. Evidence is provided
that high asset management fees and high acquisition fees diminish managerial success
at generating revenue from invested capital. Successful revenue flows are deterministic
factor in the level of distributions paid and the likelihood of achieving a fund exit.
Closing the gate on share redemption plans is synchronized with the slowdown in new
equity flows. Retail investors are insensitive to maligned compensation

Information Diffusion in the U.S. Real Estate Investment
Trust Market
Masaki Mori
Published online: 6 May 2014

Abstract

This study examines the information diffusion process in the U.S. Real Estate
Investment Trust (REIT) market with a focus on the impacts of changing market
environments, information supply, and information demand on the lead-lag effect. The
results suggest that a significant lead-lag relationship exists between the lagged returns of
big REITs and the current returns of small REITs. This relationship has slightly decreased
along with policy and environment changes that occurred in the U.S. REIT market during
the study period from 1986 to 2012, while still remaining significant in the most recent
REIT market. The process of information diffusion is becoming unstable in recent years
and the reverse lead-lag effect fromsmall REITs to bigREITs is observed especiallywhen
REIT market liquidity and return volatility are high. The lead-lag effect among REITs is
driven largely by slow adjustment to negative information, which is magnified by a lack of
information supply, especially as demand for such information increases. Finally, information
flow from REITs with more media coverage to those with less media coverage
becomes even more sluggish than the information flow from big REITs to small REITs.