What determines REIT returns in Turkey? An application of time-varying arbitrage pricing model in an emerging REIT market

Name: What determines REIT returns in Turkey? An application of time-varying arbitrage pricing model in an emerging REIT market
Author: Erol, Işıl, İleri, A.

İsim	What determines REIT returns in Turkey? An application of time-varying arbitrage pricing model in an emerging REIT market
Yazar	Erol, Işıl, İleri, A.
Basım Tarihi:	2013
Basım Yeri	- Bilgesel Yayıncılık
Konu	Arbitrage pricing theory, Time-varying risk premium, Generalized method of moments (GMM) estimation, REITs, Turkish real estate market
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	1300-610X
Kayıt Numarası	dde60905-f328-4590-b753-6e0223929ba3
Lokasyon	International Finance
Tarih	2013
Notlar	Due to copyright restrictions, the access to the full text of this article is only available via subscription.
Örnek Metin	This paper investigates the macroeconomic sources of time-varying risk premia in Turkish REIT industry within the arbitrage pricing theory framework. Turkish REIT industry differs substantially from the global REIT market as Turkish REITs do not have to pay out dividends, yet enjoy the exemption from paying corporate taxes, and have highly concentrated ownership structure. These fundamental differences have significant impacts on the performance of REITs compared to other stocks listed on Borsa Istanbul (BIST), especially in terms of the inflationhedging characteristics and time-varying systematic risk behaviour. This article evaluates the Turkish REIT industry by using a time-varying multifactor model, which compares the REIT industry excess returns with various macroeconomic factors, including GDP growth, industrial production growth, inflation risk premium, and stock market risk premium. Our results provide the evidence of time-varying linkages among macroeconomic risks and the conditional first and second moments of excess returns on REITs. We find that among the macroeconomic factors, inflation risk appears to be the major concern in REIT investment. Additionally, Turkish REITs behave more like stocks than real estate. The documented perverse inflation hedges of REITs, the positive correlation between REIT returns and volatility of real economic activity, and the significant influence of ISE equity risk premium on REIT returns can be quoted as the indications of deviation of REITs’ performance from real estate performance. If REITs behave more like stocks than real estate, the diversification benefits of having REITs in a multi-asset portfolio is seriously reduced.
Cilt	28

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What determines REIT returns in Turkey? An application of time-varying arbitrage pricing model in an emerging REIT market

Yazar Erol, Işıl, İleri, A.

Basım Tarihi 2013

Basım Yeri - Bilgesel Yayıncılık

Konu Arbitrage pricing theory, Time-varying risk premium, Generalized method of moments (GMM) estimation, REITs, Turkish real estate market

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 1300-610X

Kayıt Numarası dde60905-f328-4590-b753-6e0223929ba3

Lokasyon International Finance

Tarih 2013

Notlar Due to copyright restrictions, the access to the full text of this article is only available via subscription.

Örnek Metin This paper investigates the macroeconomic sources of time-varying risk premia in Turkish REIT industry within the arbitrage pricing theory framework. Turkish REIT industry differs substantially from the global REIT market as Turkish REITs do not have to pay out dividends, yet enjoy the exemption from paying corporate taxes, and have highly concentrated ownership structure. These fundamental differences have significant impacts on the performance of REITs compared to other stocks listed on Borsa Istanbul (BIST), especially in terms of the inflationhedging characteristics and time-varying systematic risk behaviour. This article evaluates the Turkish REIT industry by using a time-varying multifactor model, which compares the REIT industry excess returns with various macroeconomic factors, including GDP growth, industrial production growth, inflation risk premium, and stock market risk premium. Our results provide the evidence of time-varying linkages among macroeconomic risks and the conditional first and second moments of excess returns on REITs. We find that among the macroeconomic factors, inflation risk appears to be the major concern in REIT investment. Additionally, Turkish REITs behave more like stocks than real estate. The documented perverse inflation hedges of REITs, the positive correlation between REIT returns and volatility of real economic activity, and the significant influence of ISE equity risk premium on REIT returns can be quoted as the indications of deviation of REITs’ performance from real estate performance. If REITs behave more like stocks than real estate, the diversification benefits of having REITs in a multi-asset portfolio is seriously reduced.

Cilt 28