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Performance Stability of Turkish REITs

In: Financial Management from an Emerging Market Perspective

Author

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  • Sema Bayraktar

Abstract

The main purpose of this study is to analyse the performance stability of REIT Index and individual REITs over different sub-periods. The performance of the REITs is compared to mainly that of BIST 100 Index. For analysing the performance stability, three different risk-adjusted measures, namely Sharpe ratio, Treynor ratio and Jensen's alpha, are employed for four different periods. These periods are determined with respect to important regulatory changes in the Turkish REIT market and also to economic states of the country. The results show that Treynor and Sharpe ratios rank the REITs consistently for the high-growth periods. However, the rankings are not that consistent in low-growth periods and even they may contrast significantly. The results also show us that regulatory changes almost have no impact on the performances of the REITs. On the other hand, time-varying behaviour of betas also makes it difficult to attribute the changes in performances to states of economy

Suggested Citation

  • Sema Bayraktar, 2018. "Performance Stability of Turkish REITs," Chapters, in: Soner Gokten & Guray Kucukkocaoglu (ed.), Financial Management from an Emerging Market Perspective, IntechOpen.
    • Handle: RePEc:ito:pchaps:131182
    DOI: 10.5772/intechopen.71629
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    More about this item

    Keywords

    REITs; performance; portfolio management; stock market; emerging market;
    All these keywords.

    JEL classification:

    • C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

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