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Paper eres2015_18:
A Comparative Study On Reit Returns In Istanbul Stock Exchange By Using Single Index And Fama-French Methods

id eres2015_18
authors Kestel, Sevtap; Yener Coskun; Bilgi Yilmaz
year 2015
title A Comparative Study On Reit Returns In Istanbul Stock Exchange By Using Single Index And Fama-French Methods
source 22nd Annual European Real Estate Society Conference in Istanbul, Turkey
summary However its popularity has been rising recently, the root of Turkish REITs industry backs to mid-1990s. Representing the critical linkage between finance and real estate, the industry has special importance in Turkish financial and real estate sectors. In this study, the performance of REITs return, in Istanbul Stock Exchange for the period 2008-2013, is analyzed by defining its determinants and comparing the efficiency of single index and Fama-French three factor models. There are three main contributions in this study. As the first in Turkish REITs literature, a major contribution of the study is to show differences of the return variability on individual stock returns based on single index and Fama- French models. From a practical contribution perspective, this study may have wider application and provide a tool for critical decision-making in the REITs portfolio management. The study also provides information to the investors who are willing to get benefit from diversification by investing in REITs. Initial outcomes suggest that REIT return may show difference according to proposed model and macroeconomic and real estate market related variables may have specific effects on return variability.
keywords REIT, Single Index Model, Fama-French Three Factor Model, Risk Diversification, Portfolio Management
series ERES:conference
type paper session
email skestel@metu.edu.tr
discussion No discussions. Post discussion ...
ratings
session Real Estate Portfolio Management
last changed 2015/07/08 18:06
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