Hedging with trees: Tail-hedge discounting of long-term forestry returns
2018
Hultkrantz, Lars | Mantalos, Panagiotis
Tail-hedge discounting is based on decomposition of returns from long-term investments in a fraction (gamma) that is correlated with consumption and another that is not. The first part is discounted at a discount rate that includes a risk premium, the other with the risk-free rate. We estimate gamma for forestry on Swedish data for stumpage prices and GDP per capita 1909–2012. We demonstrate that the result considerably changes the expected present value of medium-term and long-term forest investments.
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书目信息
出版者
Elsevier GmbH
其它主题
Cost‐benefit analysis; Discount rate; Q23; Far‐distant future; Declining discount rates; D81; D61; Stumpage; Discounting; D63; D92
语言
英语
类型
Journal Article; Text
2024-02-28
MODS