The effect of macroeconomic and firm specific variables on real estate investment trust returns: An application on İstanbul Stock Exchange

Real Estate Investment Trusts (REITs) were first established in the USA in 1961 and then; showed a rapid development all over the world, notably in Europe and Asia- Pacific region. Since then they have become the most important institutional investors in all over the world real estate market. The aim of this dissertation research is to determine whether there is a relationship between returns of the REITs that are the most important establishments of the capital markets in terms of both macroeconomic and firm specific variables in Turkey, and to state the degree and the direction of the relation if there is a relationship. This study consists of three chapters. The first chapter includes the concept and history of REIT, REIT's development in the world, REIT's organization forms and types. In the second chapter, it is explained the components, activities, importance and benefits of REIT, REIT's legal aspects, the risk, return and valuations of REIT. Finally the third chapter includes literature review and application part. Macroeconomic variables used in this work are gold prices, US Dolar and TL Exchange rate and base inrerest rate; firm specific variables are REIT portfolio size, REIT market to book value ratio and REIT price earning ratio. Multiple regression analysis is used to analyse the data. The following results have been obtained at the end of the research: there is a meaningful and negative relationship between all three macroeconomic variables and REIT returns. On the other hand, there is a meaningful and positive relationship between REIT returns and book to market value. Keywords: REIT's, Macroeconomic Variables, Firm Specific Variables