Over the last three decades, timberland and farmland have been well recognized as investment vehicles that have grown from niche investments to mainstream alternative asset classes. Their increasing popularity is due to attractive financial characteristics including high risk-adjusted returns, inflation hedging, and portfolio diversification benefits. Although several studies have examined various aspects of timberland investment, investigation of timber real estate investment trust (REIT) is still fragmented. Additionally, no study has provided a clear idea of farmland REIT characteristics. The first part of this dissertation reviews the existing literature on the development and financial performance of timber REITs in the United States. The results show expansion in timber REIT conversions, reformation of tax policies associated with timber REITs, and use of more advanced asset pricing models that showed limited diversification abilities of timber REITs. The second part examines the time-varying relationships of timber REITs with private-equity timberland, real estate, and financial assets. The results reveal that the characteristics of timber REIT change over time for 2000Q1-2019Q4, with large-cap stock and idiosyncratic factors being the major contributors of timber REIT volatility. The last part compares the integration of farmland REITs and timber REITs with their private equity counterparties and other selected asset classes for 2013Q1-2021Q4. The results show that both REITs are still in the developing phase because the contribution of large-cap stock factor increases over time, whereas that of idiosyncratic factor declines. Overall, this dissertation attempts to provide a better understanding on the financial performance of timberland and farmland investments in the United States.