 Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from TurkeyYener Cos‚kun,
A. Sevtap Selcuk-Kestel and
Bilgi Yilmaz
Borsa Istanbul Review, 2017, vol. 17, issue 4, 199-215 Abstract: This paper analyzes return enhancement patterns of Turkish REITs (T-REITs) from various perspectives over the period of July 2008 and March 2015. We find that T-REITs portfolio provides a slightly lower level of risk diversification benefit than investment trusts, but higher than the banks. The evidence suggests that portfolio managers and investors may not only be able to utilize knowledge deriving from the CAPM, but also utilize information retrieved from Fama-French model due to its relatively better performance on capturing the variation in T-REITs returns. Results also disclose that T-REITs show a degree of diversity in property focus, and reveal mainly defensive, small and financially distressed characteristics. Finally, based on the multiple observations, a case can be made for a possible linkage between property focus and yield improvement/risk taking structure of T-REITs. This study provides implications for the capacity of T-REITS and improve return enhancement capacity in an efficient portfolio management. Keywords: REIT; CAPM; Fama-French model; Turkish REITs; Borsa Istanbul (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bor:bistre:v:17:y:2017:i:4:p:199-215 Access Statistics for this article More articles in Borsa Istanbul Review from Research and Business Development Department, Borsa Istanbul Contact information at EDIRC. |
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