**2. Data and methodology**

Hepşen [3]. This study compares the performance of the REIT sector with the ISE-100 index using the Sharpe and Jensen indices using monthly data for 2000–2008. Results of the study show that most of the T-REITs have higher monthly returns than those of ISE-100, but they also have higher variabilities. Thus, for most of them, Sharpe indices are lower than those of ISE-100. Although Jensen's indices are positive for most of the cases, it is not possible to claim that T-REITs perform better than common stocks since the indices are not statistically significant. Erol and Tırtıroğlu [4] compare hedging characteristics of T-REITs against inflation with stock indexes between December 1999 and December 2004. They show that REITs provide better hedge against both unexpected and expected inflation compared to stock indices and

Erol and İleri [5] try to determine which macroeconomic factors influence BIST sector indices and individual REIT companies by analysing data between 2002 and 2011. The results show that Turkish REIT stocks act more like the stock market than the real estate sector. T-REITs, like the same BIST sectoral indices, provide negative protection against inflation, exhibit a positive correlation with real sector volatility and are heavily influenced by the ISE risk premium. The study by Aktan and Ozturk [6] investigates the risk-return relationship for T-REITs over the period 2002–2008 by using CAPM and Single Index Model (SIM) and shows that linearity assumption of these models are rejected. Altınsoy et al. [1] analyse whether the declining beta property of REITs observed in many markets also prevail for Turkey and the results show that it is true for 2002–2009. Their results show that T-REITs' betas – correlation between REITs and stock market – decreases over time. On the other hand, REIT returns more closely track stock market in highgrowth economic states than low-growth economic states, unlike to the findings from other countries. Another study [2] examines the portfolio diversification and risk/return characteristics of T-REITs using monthly data between 2008 and 2015. The study shows that Fama-French model is better than CAPM in capturing the variation of T-REITs' returns. Additional macroeco-

All of these studies cover only short-term periods. Thus, the questions of how well the T-REITs have performed over a long period and how stable the performance of T-REITs remain unanswered. Previous research shows that different sampling periods may result in different performance results [7]. Thus, it is important to adapt a longer period and try to analyse whether

The objective of this study is to investigate the performance of T-REITs with respect to stock market by using risk-adjusted measures. By using a relatively longer period over 2002–2017, the study is going to investigate the stability of performance of T-REITs. In this study, we analyse four periods: 2001–2005; 2006–2008; 2009–2013 and 2014–2017. This separation allows us to distinguish both pre- and post-crisis periods and also the effects of some important regulation changes in Turkey. For example, in 2007, the new regulations regarding mortgage loans were introduced. This change was expected to increase the demand for real estate and thus to have a positive effect on the future of REITs. At the beginning, T-REITs were supposed to invest at a minimum 75% of their portfolios in real estate and real-estate backed securities with the 1998 Communique, Article 27. Later, that ratio has been decreased to 50% in 2013, so the flexibility of T-REITs with respect to investment has increased. Also, with the amendment made in 2013, requirement to have a leader entrepreneur (partner or partners having a minimum of 25% of the

that property of T-REITs is more effective in high-inflation periods.

286 Financial Management from an Emerging Market Perspective

nomic factors also improve the explanatory power of the model.

there are significant differences in the investment performance of T-REITs.

Turkey currently has 28 REITs, each of which is reflected by a certain weight in the constructed REIT index. **Table 1** shows their Ticker, Names, and their weights in the index. As shown in **Table 1**, 16 out of 28 REITs has a weight less than 1%. On the other hand, the other 12 REITs comprise 92.55% of the REIT index in total. For the sake of clarity and integrity of the chapter, the aim of the study would be to analyse the performance stability of these REITs that have larger weights in the REIT index. We also add Pera GYO (PEGYO) to the sample since it is the only REIT that survived throughout the whole period. The data used is the monthly prices of these REITs over more than 14-year period from January 2001 to July 2017. For each REIT, the monthly returns are calculated based on data gathered from the Bloomberg database by taking the log of difference between two subsequent observations<sup>2</sup> . Monthly return of BIST 100 which is also gathered from Bloomberg serves as a proxy for market return. The monthly interest rate values of 1-year Treasury bills are employed to proxy for risk-free rate. Interest rate values are obtained from Federal Reserve Bank of St. Louis for the period 2001–2004 and from investing.com website for the period 2005–2017.

<sup>1</sup> Average growth rates for the periods of 2001–2005, 2006–2008, 2009–2013 and 2014–2017 are 0.80, −0.05, 0.54 and 0.01, respectively.

<sup>2</sup> Interest rates are not transformed to their logarithms since data for interest rates were already obtained as percentages.


**Table 1.** REIT indices in Turkey.

Basically, there are three measures that are mostly used to assess the risk-adjusted performance of a portfolio: Sharpe ratio [8], Treynor ratio [9] and [10], and Jensen's alpha. Sharpe ratio is defined as follows:

$$Sj = \frac{\overline{Rj} - \overline{R\_j}}{\theta j} \tag{1}$$

where ( ¯ *Rj* <sup>−</sup> ¯ *Rf* ) is the average excess return of REIT over risk-free rate, ϑj is the standard deviation of the same REIT. Thus, Sharpe ratio shows the average excess return per unit of risk. The higher the ratio, the better the performance is.

Treynor ratio is the ratio of average excess return of REIT to its systematic risk, that is, beta (β);

 *Tj* = ¯ *Rj* <sup>−</sup> ¯ *<sup>R</sup>* \_\_\_\_\_*<sup>f</sup> <sup>j</sup>* (2)

where β is the beta coefficient of each REIT portfolio. It is calculated by using the following relationship:

$$R\_{\flat} - R\_{\flat} = \alpha\_{\flat} + \beta\_{\flat} (R\_{\text{net}} - R\_{\flat}) + \varepsilon\_{\flat} \tag{3}$$

where *Rjt* − *Rft* is the excess return of REIT portfolio over risk-free rate, *Rmt* − *Rft* is the excess return of market portfolio over risk-free rate, *β<sup>j</sup>* is the regression coefficient standing for the systematic risk, *α<sup>j</sup>* is Jensen's alpha for each REIT portfolio. As can be seen from this specific regression, the calculation of Treynor ratio and Jensen's alpha requires the selection of a reference market portfolio. In this study, BIST 100 is going to be employed as the reference portfolio. The main purpose of the study is to observe the performance stability of REIT portfolios over a relatively long period, that is, the trend of the risk and return performances of the portfolios is more important than the actual level of the performances. Thus, the selection of the reference portfolio is not critical for the present study. Indeed, study by Myer and Webb [11] shows that the performances of the real estate funds are not very much affected by the choice of real estate benchmarks employed. Whether the employed benchmark portfolio is satisfactory or not is decided by looking at the explanatory power of the regression measured by R-squared values.

As in the case of Sharpe ratio, the higher the positive ratio, the better the performance of REIT index is. A positive and significant alpha indicates a superior performance of the REIT ındex relative to reference portfolio, while a negative alpha indicates the fund's inferior performance.

#### **3. Results**

Basically, there are three measures that are mostly used to assess the risk-adjusted performance of a portfolio: Sharpe ratio [8], Treynor ratio [9] and [10], and Jensen's alpha. Sharpe ratio is

**Ticker Name Weight**

EKGYO TI Equity Emlak Konut Gayrimenkul Yatirim Ortaklig 57.721044 YGGYO TI Equity Yeni Gimat Gayrimenkul Ortakligi AS 9.283066 ISGYO TI Equity Is Gayrimenkul Yatirim Ortakligi AS 5.904721 TRGYO TI Equity Torunlar Gayrimenkul Yatirim Ortakligi A 5.315489 AKSGY TI Equity AKIS Gayrimenkul Yatirimi AS 3.383685 ALGYO TI Equity Alarko Gayrimenkul Yatirim Ortakligi AS 1.988418 HLGYO TI Equity Halk Gayrimenkul Yatirim Ortakligi AS 1.87651 SNGYO TI Equity Sinpas Gayrimenkul Yatirim Ortakligi AS 1.555767 KLGYO TI Equity Kiler Gayrimenkul Yatirim Ortakligi AS 1.550455 VKGYO TI Equity Vakif Gayrimenkul Yatirim Ortakligi AS 1.49898 AKMGY TI Equity Akmerkez Gayrimenkul Yatirim Ortakligi A 1.373071 NUGYO TI Equity Nurol Gayrimenkul Yatirim Ortakligi AS 1.100913 RYGYO TI Equity Reysas Gayrimenkul Yatirim Ortakligi AS 0.948177 OZKGY TI Equity Ozak Gayrimenkul Yatirim Ortakligi 0.855248 PAGYO TI Equity Panora Gayrimenkul Yatirim Ortakligi 0.823887 AKFGY TI Equity Akfen Gayrimenkul Yatirim Ortakligi AS 0.777751 YKGYO TI Equity Yapi Kredi Koray Gayrimenkul Yatirim Ort 0.502913 DGGYO TI Equity Dogus Gayrimenkul Yatirim Ortakligi A.S. 0.499015 YGYO TI Equity Yesil Gayrimenkul Yatirim Ortakligi AS 0.489101 OZGYO TI Equity Ozderici Gayrimenkul Yatirim Ortakligi A 0.456993 PEGYO TI Equity Pera Gayrimenkul Yatirim Ortakligi AS 0.444152 AVGYO TI Equity Avrasya Gayrimenkul Yatirim Ortakligi AS 0.4257 AGYO TI Equity Atakule Gayrimenkul Yatirim Ortakligi 0.363115 MRGYO TI Equity Marti Gayrimenkul Yatirim Ortakligi AS 0.282384 TSGYO TI Equity TSKB Gayrimenkul Yatirim Ortakligi AS 0.239008 ATAGY TI Equity Ata Gayrimenkul Yatirim Ortakligi AS 0.207019 SRVGY TI Equity Servet Gayrimenkul Yatirim Ortakligi AS 0.092782 MSGYO TI Equity Mistral Gayrimenkul Yatirim Ortakligi AS 0.040637

defined as follows:

**Table 1.** REIT indices in Turkey.

XGMYO index

288 Financial Management from an Emerging Market Perspective

**Table 2** presents the statistical summary between BIST REIT Index return and some important financial indicators for four different periods, namely 2001m5–2005m12, 2006m1–2009m1, 2009m1–2013m12 and 2014m1–2017m7. The indicators that are compared with BIST REIT index are BIST 100, 10-year Treasury bond, gold prices in USD, consumer price index and USD/TRY currency. It is clearly observed that REIT index is closely linked to BIST index both in terms of returns and volatilities for all periods. In the first period, that is high-growth period, average returns of BIST 100, REIT index and CPI have their highest values. But for the second period, that is low-growth period, index returns become negative and BIST 100 is


**Table 2.** Statistical summary for BIST 100 and REIT index returns and some important financial indicators.

affected more harshly than REIT index. On the other hand, apparently as alternative investments gold and USD/TRY currency seem to be positively affected from this state change. In the third period, post-financial crisis, while changes in CPI and USD/TRY currency are relatively stable and returns on gold price decreases compared to the previous period, index returns become positive and looks like catching up with the pre-crisis levels. This expectation, however, is not realised since the last period is also a low-growth period and what happens to index returns is only a dramatic fall again. Meanwhile, gold returns for final period also dramatically decreased. When a similar statistical analysis is done for individual REITs for the same periods, more or less, we observe similar changes. These results are not presented here for the sake of brevity. However, we present **Table 3**, where the statistical summary between BIST 100 and BIST REIT index and individual REITs are presented for the whole period. There are three REITs that perform better than BIST 100. Two of them are Vakıf GYO (VKGYO) with an average of 1.67 and Nurol GYO (NUGYO) with an average of 1.18 and they both have much higher volatilities compared to BIST 100. The third one is AKIŞ GYO (AKSGYO) with an average of 1.17 and a lower volatility than that of BIST 100. All other individual REITs and REIT index perform worse than BIST 100 and they also have high volatilities for the period.

The correlations between BIST 100 and REIT indices are shown in **Table 4**. The strongest relation is between BIST 100 and BIST REIT index. For all of the individual REITs except two, the correlation with BIST 100 is larger than 40%. For Akiş GYO (AKSGYO), the correlation is only 3% and for Yeni Gimat GYO (YGGYO), the correlation is even a negative number, −7%.

**Table 5** reports the risk-adjusted performance results of Sharpe, Treynor and Jensen alpha measures alongside their respective performance rankings for different periods. However, as shown in all periods, there are some negative Sharpe ratio and Treynor ratio values. As the study by Israelsen [12] shows, these negative ratios can lead to incorrect rankings by making you choose the worse portfolio due to larger volatility. Craig Israelsen [12] has created modified Sharpe ratio where the denominator is adjusted as follows:


$$S\_{\parallel} = \begin{array}{c} \cdot \; \cdot \; \cdot \; \cdots \; \cdot \; \cdot \; \cdots \; \cdot \; \cdot \; \cdot \; \cdots \; \cdot \; \cdot \; \cdots \; \cdot \; \cdot \; \cdots \; \cdot \; \cdot \; \cdots \; \cdot \; \cdot \; \cdot \; \cdots \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \cdot \; \$$

**Table 3.** Statistical summary for REIT index and indıvıdual REIT portfolio returns (2001m5–2017m7).

affected more harshly than REIT index. On the other hand, apparently as alternative investments gold and USD/TRY currency seem to be positively affected from this state change. In the third period, post-financial crisis, while changes in CPI and USD/TRY currency are relatively stable and returns on gold price decreases compared to the previous period, index returns become positive and looks like catching up with the pre-crisis levels. This expectation, however, is not realised since the last period is also a low-growth period and what happens to index returns is only a dramatic fall again. Meanwhile, gold returns for final period also dramatically decreased. When a similar statistical analysis is done for individual REITs for the same periods, more or less, we observe similar changes. These results are not

**BIST REIT BIST 100 10Y T-Bond GOLD/OUNCE** 

Mean 2.36 2.02 NA 1.15 1.48 0.26 Median 4.27 2.16 NA 0.81 0.98 −0.32 Maximum 26.03 32.03 NA 8.10 5.92 11.55 Minimum −25.89 −26.98 NA −6.09 −0.58 −9.67 Std. Dev. 11.95 12.92 NA 3.00 1.43 4.87

Mean −1.16 −3.16 NA 1.44 0.73 0.53 Median 1.72 −0.31 NA 0.89 0.80 −0.49 Maximum 18.45 10.53 NA 10.33 2.57 19.47 Minimum −26.29 −38.16 NA −12.26 −0.73 −7.61 Std. Dev. 9.82 10.87 NA 5.53 0.76 5.55

Mean 1.54 1.58 0.75 0.72 0.69 0.59 Median 0.78 1.97 0.76 0.70 0.58 0.49 Maximum 20.58 23.90 0.91 1.22 11.40 3.22 Minimum −14.39 −18.35 0.51 0.42 −6.88 −1.44 Std. Dev. 7.58 9.10 0.10 0.16 3.96 0.84

Mean 0.94 0.97 0.80 0.08 0.72 1.18 Median 1.24 1.10 0.80 0.16 0.57 0.84 Maximum 10.87 13.91 0.92 9.61 2.43 10.53 Minimum −9.23 −10.76 0.58 −7.13 −0.52 −5.13 Std. Dev. 5.13 4.91 0.08 3.37 0.70 3.23

**Table 2.** Statistical summary for BIST 100 and REIT index returns and some important financial indicators.

**A. 2001m5–2005m12**

290 Financial Management from an Emerging Market Perspective

**B. 2006m1–2009m1**

**C. 2009m1–2013m12**

**D. 2014m1–2017m7**

**(USD)**

**CPI USD/TRY Currency**


**Table 4.** Correlation matrix between REIT index and individual REIT portfolio returns (2001m5–2017m7).


**BIST 100**

> BIST 100

XGMYO AKMGY AKSGYO

ALGYO EKGYO HLGYO

ISGYO KLGYO NUGYO

SNGYO TRGYO VKGYO YGGYO PEGYO **Table 4.**

0.61

0.61

0.33

−0.04 Correlation matrix between REIT index and individual REIT portfolio returns (2001m5–2017m7).

0.47

0.39

0.34

0.5

0.46

0.38

0.50

0.47

0.33

−0.03

−0.07

0.10

0.28

−0.08

0.14

0.00

−0.19

0.04

−0.08

0.09

−0.11

−0.07

0.01

1.00

0.45

0.51

0.19

0.17

0.43

0.16

0.31

0.44

0.18

0.45

0.25

0.19

1.00

0.01

0.66

0.75

0.36

−0.03

0.56

0.67

0.36

0.52

0.58

0.50

0.66

1.00

0.19

−0.07

0.76

0.81

0.45

0.04

0.57

0.61

0.48

0.6

0.54

0.49

1.00

0.66

0.25

−0.11

0.57

0.60

0.37

−0.03

0.49

0.37

0.35

0.46

0.49

1.00

0.49

0.50

0.45

0.09

0.44

0.53

0.33

−0.17

0.38

0.44

0.40

0.36

1.00

0.49

0.54

0.58

0.18

−0.08

0.77

0.88

0.36

0.01

0.63

0.63

0.55

1.0

0.36

0.46

0.60

0.52

0.44

0.04

0.53

0.53

0.22

0.14

0.41

0.47

1.00

0.55

0.40

0.35

0.48

0.36

0.31

−0.19

0.65

0.95

0.42

−0.10

0.48

1.00

0.47

0.63

0.44

0.37

0.61

0.67

0.16

0.00

0.63

0.73

0.48

−0.13

1.00

0.48

0.41

0.63

0.38

0.49

0.57

0.56

0.43

0.14

292 Financial Management from an Emerging Market Perspective

0.03

−0.06

0.00

1.00

−0.13

−0.10

0.14

0.01

−0.17

−0.03

0.04

−0.03

0.17

−0.08

0.50

0.60

1.00

0.00

0.48

0.42

0.22

0.36

0.33

0.37

0.45

0.36

0.19

0.28

0.86

1.00

0.60

−0.06

0.73

0.95

0.53

0.88

0.53

0.60

0.81

0.75

0.51

0.10

1.00

0.86

0.50

0.03

0.63

0.65

0.53

0.77

0.44

0.57

0.76

0.66

0.45

−0.07

**XGMYO**

**AKMGY**

**AKSGYO**

**ALGYO**

**EKGYO**

**HLGYO**

**ISGYO**

**KLGYO**

**NUGYO**

**SNGYO**

**TRGYO**

**VKGYO**

**YGGYO**

Performance Stability of Turkish REITs http://dx.doi.org/10.5772/intechopen.71629 293



**Table 5.** Performance comparison of REITs with BIST 100 for different sub-periods. The Sharpe ratio is adjusted by adding an exponent to the denominator, standard deviation of excess return. The exponent is excess return divided by the absolute value of excess return, *Rj*¯<sup>−</sup> ¯ *Rf* . This modification does not have any impact on positive ratios. But by modifying the negative ones, modified Sharpe ratio leads to correct rankings. Since the time period is quite a long one, negative Treynor ratios are also observed. By using the same logic, to prevent counterintuitive results, Treynor ratios are also modified in the same way:

$$T\_{\rangle} = \frac{\overline{Rj} - \overline{R\_{\circ}}}{\theta \overline{l}^{200/(Et)}}\tag{5}$$

**Table 5** reports both Sharpe and Treynor ratios and their modified versions.

The performance rankings by Sharpe ratio (whether modified or not) theoretically can differ from those of Treynor ratio and Jensen's alpha since Sharpe ratio depends on volatility of return, while Treynor ratio and Jensen's alpha depend on systematic risk, beta, as the relevant risk factor. For the first period (Panel A of **Table 5**), there is no significant difference in the ranking orders of REIT performances. Even though none of the Jensen's alpha values are significant (probability values are quite large), the rankings for all of three measures are almost the same. Similarly, the observed rankings by Treynor ratio and Sharpe ratio are fairly consistent with each other in Panel C, for the second high-growth period. Jensen performance measures, though not significant, are not really far away from those rankings, either. Some minor differences can be observed in the rankings in Panel B between Treynor and Sharpe ratios. However, the last period, presented in Panel D of the **Table 5** has some real contrasts in ranking orders of Treynor and Sharpe. The most important one is the Yeni Gimat REIT (YGGYO). While it is ranked as fourth by Sharpe ratio, it is only the second from the last (13th) in ranking by Treynor. Such differences of course can be attributed to the differences in risk measure employed, that is, standard deviation of return versus beta. Given that the reported R-squared values for REITs are high (see **Table 6**), it can be assumed that beta coefficients are quite reliable and thus, Treynor ratios that uses beta can be thought to be giving more convincing performance rankings than Sharpe.

When the performance ratings are compared over the periods, between first and second periods, there is not much difference. In the third period for AKMGY, VKGYO and NUGYO some changes are observed. AKMGY ranking as first before the crisis (Panel B) becomes only the seventh after the crisis period (Panel C). On the other hand, NUGYO improves by four rankings (from six to two) and VKGYO improves by at least one ranking for the same periods. However, the last period is witness to much more important changes in the rankings for most of the REITs, namely, for KLGYO, NUGYO, SNGYO, TRGYO, VKGYO, YGGYO and PEGYO. It can be even stated that the rankings are shuffled around for the last period so that VKGYO, which has the first ranking in the third period becomes the last one in the last period. In contrast, KLGYO, which has the 11th ranking in the high-growth period, becomes first one in the last period for all of the performance measures. The others also experience radical changes in their rankings. These results basically show us that regulatory changes almost have no impact on the performances of the REITs. Otherwise, we would observe stable improvements in the performances of the REITs throughout the

**BIST REIT**

**C. 2009m1–2013m12**

Sharpe ratio Modified Sharpe ratio

**Ranking** Treynor ratio Modified Treynor

0.90

0.18

2.06

−0.53

1.20

−5.49

3.16

0.31

−1.18

10.08

−0.69

294 Financial Management from an Emerging Market Perspective

ratio

**Ranking** Jensen's alpha Prob value (alpha)

**Ranking**

Obs. **D. 2014m1–2017m7**

Sharpe ratio Modified Sharpe ratio

**Ranking** Treynor ratio Modified Treynor

0.24

0.17

0.002

1.86

0.17

−0.33

0.36

7.41

−0.01

−0.72

0.76

−0.42

−4.75

1.21

ratio

**Ranking** Jensen's alpha Prob value (alpha)

**Ranking**

Obser. **Table 5.**

Performance comparison of REITs with BIST 100 for different sub-periods.

43

43

43

43

43

43

43

43

43

43

43

43

43

43

**8**

**7**

**11**

**2**

**9**

**12**

**6**

**1**

**10**

**13**

**5**

**14**

**4**

**3**

0.93

0.97

0.69

0.42

0.87

0.22

0.90

0.29

0.86

0.09

0.73

0.07

0.56

0.47

−0.05

−0.02

−0.46

1.08

−0.12

−0.86

0.11

1.83

−0.25

−1.28

0.45

−3.20

0.63

1.07

**6**

**7**

**14**

**2**

**8**

**10**

**5**

**1**

**9**

**12**

**4**

**11**

**13**

**3**

0.24

0.17

64.65

1.86

0.17

−1.09

0.36

7.41

−1.72

−1.27

0.76

−18.55

−4.75

1.21

**6**

**9**

**11**

**2**

**8**

**12**

**7**

**1**

**10**

**13**

**5**

**14**

**4**

**3**

0.03

0.01

−2.84

0.13

0.02

−3.16

0.03

0.22

−1.14

−5.97

0.07

−30.92

0.08

0.12

0.03

0.01

−0.05

0.13

0.02

−0.11

0.03

0.22

−0.01

−0.15

0.07

−0.25

0.08

0.12

**5** 60

60

60

36

60

32

60

60

38

60

60

**8**

**3**

**6**

**4**

**11**

**2**

**9**

**7**

**1**

**10**

0.92

0.70

0.45

0.96

0.72

0.00

0.21

0.40

0.98

0.05

0.12

0.07

−0.62

1.02

0.06

0.31

−4.44

2.59

−0.79

−0.04

4.28

−1.54

**5**

**7**

**3**

**8**

**4**

**11**

**2**

**6**

**10**

**1**

**9**

0.90

0.18

2.06

−0.58

1.20

−5.04

3.16

0.31

−0.78

10.08

−0.55

**5**

**7**

**3**

**8**

**4**

**11**

**2**

**6**

**10**

**1**

**9**

0.09

0.01

0.14

−5.98

0.11

−55.62

0.20

0.04

−10.64

0.28

−6.93

0.09

0.01

0.14

−0.05

0.11

−0.50

0.20

0.04

−0.09

0.28

−0.05

**AKMGY**

**AKSGYO**

**ALGYO**

**EKGYO**

**HLGYO**

**ISGYO**

**KLGYO**

**NUGYO**

**SNGYO**

**TRGYO**

**VKGYO**

**YGGYO**

**PEGYO**


**Table6.** Comparison of beta values for different sub-periods.

years. In consistent with the previous literature, it is possible that state of the economy (whether it is a low-growth or high-growth state) is more important in terms of the performances of REITs.

So far, the risk-adjusted returns of the REITs have been analysed for different periods. It may be interesting to look at the systematic risk behaviour of REITs for the same sub-periods. Indeed, a study by Altınsoy et al. [1] shows systematic risks of REITs, betas, decline over time for the period of 2002–2009. They also show that REIT returns more closely track stock market in high-growth economic states than low-growth economic states, unlike to the findings from other countries. **Table 6** compares the beta values of REITs for the sub-periods of the study and aims to investigate whether we can observe similar facts of the mentioned study. Panel A of the **Table 6** shows the CAPM results for the whole period. Panels B, C, D and E show the regression results for periods of 2001–2005, 2006–2008, 2009–2013 and 2014–2017, respectively. Results show that except for five REITs in the last period, AKSGYO, KLGYO, NUGYO, VKGYO and YGGYO, all beta coefficients are significant and mostly at 1% significance level. Respectively, high R-squared values are observed for most of the REITs. On the other hand, the results with respect to beta behaviour over the sub-periods are different than the results of Altınsoy et al. [1]3 . The betas do not decrease from the high-growth (Panel B) to low-growth period (Panel C). For 2009–2013, which is also a high-growth period, different effects are observed, REIT index beta is relatively stable, some betas decrease and some increase. Finally, betas decrease in the last period (low-growth period) substantially. Thus, it is not possible to easily relate decreasing betas in total to economic states as it is done in the previous studies4 . There may be other important reasons for time-varying betas. Another important thing to notice is the fact that most of the REITs have lower risks than the market portfolio, that is, beta values are lower than one. It shows that although REITs have lower risks, they do not perform better than market index (alphas are not significant but betas are significant).
