Informational Efficiency of Markets for Stumpage

This paper examines the weak‐form informational efficiency of markets for pine sawtimber stumpage in the U.S. South. Analyses of annual and quarterly rates of price change generally indicate that stumpage markets are efficient. When viewed over monthly intervals, stumpage markets do not pass the tests for weak‐form efficiency. This failure is attributed to friction in the market due to the time and cost involved in consumating timber sales. The results have implications for price‐responsive timber harvest scheduling, for the application of asset pricing models to forestry investments, and for policies governing sales of timber from public lands.