**4. Conclusions**

**REIT** **A. 2001m5–2017m7**

Beta R-squared Prob value (beta)

**B. 2001m5–2005m12**

Beta R-squared Prob value (beta)

**C. 2006m1–2009m1**

Beta R-squared Prob value (beta)

**D. 2009m1–2013m12**

Beta R-squared Prob value

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.10

0.00

(beta)

**E. 2014m1–2017m7**

Beta R-squared Prob value (beta)

**Table 6.**

Comparison of beta values for different sub-periods.

0.00

0.03

0.98

0.02

0.00 \*\*\*Shows that beta coefficient is significant at 1% level, \*\*shows beta coefficient is significant at 5% level, \*shows the significance at 10% level.

0.00

0.01

0.30

0.79

0.00

0.00

0.66

0.57

0.00

0.50

0.12

0.00

0.12

0.47

0.29

0.18

0.03

0.00

0.40

0.24

0.00

0.01

0.25

0.68\*\*\*

0.32\*\*

−0.01

0.62\*\*

0.90\*\*\*

0.55\*\*\*

0.50\*\*\* 0.35

0.07

0.75\*\*\*

0.91\*\*\*

0.15

−0.12

1.05\*\*\*

0.64

0.26

0.28

0.40

0.49

0.52

0.23

0.73

0.60

0.05

0.57

0.96\*\*\*

0.96\*\*\*

0.83\*\*\*

0.96\*\*\*

0.83\*\*\*

1.04\*\*\*

1.11\*\*\*

1.56\*\*\*

1.23\*\*\*

0.46\*

1.12\*\*\*

0.00

0.00

0.00

0.77

0.46

0.41

0.97\*\*\*

0.60\*\*\*

0.83\*\*\*

1.09\*\*\*

0.62 0.00

0.00

0.32

0.85\*\*\*

0.80\*\*\*

0.35 0.00

0.00

0.23

1.11\*\*\*

0.00

0.79

0.98\*\*\*

0.80\*\*\*

0.49 0.00

1.04\*\*\*

0.70 0.00

0.00

0.52

0.95\*\*\*

0.78\*\*\*

0.36 0.00

0.00

0.38

1.23\*\*\*

296 Financial Management from an Emerging Market Perspective

0.00

0.00

0.82

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.64

0.00

0.73

0.26

0.00

0.38

0.42

0.28

0.61

0.19

0.31

0.58

0.43

0.18

0.01

0.35

0.97\*\*\*

0.70\*\*\*

0.04

0.83\*\*\*

0.93\*\*\*

0.49\*\*\*

0.98\*\*\*

0.81\*\*\*

0.94\*\*\*

1.25\*\*\*

1.12\*\*\*

0.70\*\*\*

−0.08

1.18\*\*\*

**BIST REIT**

**AKMGY**

**AKSGYO**

**ALGYO**

**EKGYO**

**HLGYO**

**ISGYO**

**KLGYO**

**NUGYO**

**SNGYO**

**TRGYO**

**VKGYO**

**YGGYO**

**PEGYO**

The main purpose of the study is to analyse the performance stability of REIT index and individual REITs over different sub-periods. The sample for the study contains 12 individual REITs that have weights larger than 1% in the REIT index and the REIT index that survived for the whole REIT history in Turkish stock market, thus, in total, 13 individual REITs and REIT index itself. The performance of the REITs is compared to mainly that of BIST 100 Index which is

<sup>3</sup> The present study differs at many aspects from the study by Altınsoy et al. [1]. This study uses monthly returns of both REIT index and individual REITs and uses simple CAPM over a longer period. The study carried out by Altınsoy et al. [1] uses weekly and daily returns for only REIT index for the period 2002–2009 and calculates time varying betas by using three different methods. It does not analyses the individual REITs.

<sup>4</sup> The author has also run regressions with several macroeconomic factors including GDP. Only for the second period, the financial crisis period, 50% of the REIT returns has significant negative relation with GDP. For all other periods, the relationship between REIT returns and GDP is not consistently significant. The best can be said about the relationship is being unclear. These multifactor regressions are also consistent with the declared conclusions on alpha and beta behaviour. The results are not presented here for the sake of brevity and integrity.

accepted to be the reference portfolio in the study. Data employed in this study is the monthly returns for a 14-year period and Treasury bill rates are used as a proxy for the risk-free rate.

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 REIT market and also to economic states of the country. The results show that although Treynor and Sharpe ratios use different risk measures, volatility and beta, they 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. In terms of stability, whether the performance of the REITs changes over time, it is observed that the rankings of the REITs in the last period virtually are shuffled up with respect to the previous period. 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 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. However, time-varying behaviour of betas does not tell us the same story. The betas do not consistently decrease from the high-growth to low-growth period. Thus, it is not possible to easily relate decreasing betas to economic states as it is done in the previous studies. There may be other important reasons for time varying betas. As a future study, it looks important to analyse why the betas of REITs are decreasing over time.
