Investigation of the impact of investor sentiment on reit returns in Turkey

This study aims to investigate the effects of investor sentiment on REIT returns in Turkey. For this purpose, REIT shares traded on Borsa Istanbul between January 2009 and November 2020 are included in the study. The change in the closed-end funds weighted discount index is used as a proxy for investor sentiment. In the study, the effect of investor sentiment is analyzed first in a univariate model with the change in the weighted discount index and then in multiple regression models with the addition of control variables. As a result of the study, it is seen that investor sentiment is statistically significant at 1% significance level in simple regression models, but the explanatory power of the model is not high, and the explanatory power of the models increases with the addition of control variables. However, it is concluded that the effect of investor sentiment is very limited in all models. Furthermore, the change in institutional investor ownership is insignificant in the equally-weighted model but significant and positive at the 5% significance level in the value-weighted model. In this respect, it is seen that the value-weighted model provides an advantage in modeling and interpreting the effect of the change in institutional investor ownership. Finally, it is determined that the models using value-weighted variables provide the opportunity to see the effects of developments in financial markets and to model these effects.