The effect of profitability ratios of real estate investment trusts on stock market performance

Abstract

Real Estate Investment Trust (REIT) is important in terms of enabling individuals who want to invest in real estate with their limited savings to benefit from the resulting increase in value by directing the funds collected through public offering to the real estate sector. In this way, REITs allow investors to become partners in real estates that they cannot act alone. Especially in the developing countries, real estate investments seem to be more attractive to investors as they are less risky than other investment instruments and provide investors with higher returns in the long run. In addition, it is important for investors how and in what way the profitability ratios of REITs will affect their stock market performance. The dynamism observed in the real estate sector in Turkey in recent years, the investors’ desire to earn income by investing in REITs as well as their tendency to real estate projects require close monitoring of the performances of companies operating in this sector. From this point of view, the relationship between the profitability ratios of REITs traded in Borsa Istanbul and the market value/book value (MV/BV), which is the stock market performance indicator, was analyzed with the help of panel regression analysis. As a result of the analysis, profit before tax/equity ratio and cumulative profitability ratio are not significantly related on the MV/BV variable. On the other hand, operating profit/net sales ratio, operating income/asset ratio, net profit/equity ratio and net income/asset total ratio are positively and significantly correlated on the MV/BV variable.

Keywords

• reıts
• profitability ratios
• stock market performance
• panel regression analysis

Gayrimenkul yatırım ortaklıklarının kârlılık oranlarının borsa performansına etkisi

Öz

Gayrimenkul Yatırım Ortaklığı (GYO), halka açılma yoluyla toplanan fonların gayrimenkul sektörüne kanalize edilmesi suretiyle belli bir miktardaki birikimleri ile gayrimenkule yönelik yatırımda bulunmak isteyen tasarruf sahiplerinin meydana gelen değer artışından yararlanmaları bakımından önem taşımaktadır faydalanmalarını sağlamaları açısından önemlidir. Böylelikle GYO’lar, yatırımcıların yalnız başlarına satın alımlarını gerçekleştiremeyecekleri gayrimenkullere ortak olabilme imkânı sunmaktadır. Özellikle, gelişmekte olan ülkelerde gayrimenkul yatırımları, diğer yatırım alanlarına göre daha az riskli olmaları ve yatırımcılara uzun vadede daha yüksek getiri sağlamaları nedeniyle yatırımcılar için daha cazip görünmektedir. Ayrıca, GYO’ların kârlılık oranlarının borsa performanslarını nasıl ve ne yönde etkileyeceği de yatırımcılar için önem taşımaktadır. Türkiye’de son yıllarda gayrimenkul sektöründe gözlemlenen hareketlilik, yatırımcıların gayrimenkul projelerine yönelmelerinin yanı sıra GYO’lara yatırımda bulunarak kazanç sağlama arzuları, bu sektörde faaliyette bulunan şirketlerin başarımlarını yakınen takip etmeyi zorunlu kılar. Buradan yola çıkarak, Borsa İstanbul’da işlem gören GYO’ların kârlılık oranlarının borsa performans endekslerinden piyasa değeri/defter değeriyle (PD/DD) ilişkisi panel regresyon analizi yardımıyla analiz edilmiştir. Analiz sonucunda, vergi öncesi kar/öz kaynak oranı ve kümülatif kârlılık oranı PD/DD değişkeni üzerinde anlamlı ilişkili değildir. Buna karşılık, faaliyet karı/net satış oranı, faaliyet karı/varlık oranı, net kar/özkaynak oranı ve net kar/varlık toplam oranı PD/DD değişkeni üzerinde olumlu yönde anlamlı ilişkilidir.

Anahtar Kelimeler

• GYO'lar
• karlılık oranları
• borsa performansı
• panel regresyon analizi

Kaynakça

1. AMBROSE, B. W., HIGHFIELD, M. J. & LINNEMAN, P. D. (2005). Real estate and economies of scale: The case of REITs. Real Estate Economics, 33 (2), 323–350. https://doi.org/10.1111/j.1540-6229.2005.00121.x
2. AMBROSE, B. W., FUERST, F., MANSLEY, N. & WANG, Z. (2019). Size effects and economies of scale in European real estate companies. Global Finance Journal, 42, (Article Number: 100470), 1–17. https://doi.org/10.1016/j.gfj.2019.04.004
3. BAKER, M. & WURGLER, J. (2002). Market timing and capital structure. The Journal of Finance, 57(1), 1–32. https://doi.org/10.1111/1540-6261.00414
4. BALTAGI, B. H. (2005). Econometric Analysis of Panel Data. 3rd Edition. West Sussex: John Wiley & Sons Ltd.
5. BARCLAY, M. J., SMITH, C.W. JR., & MORELLEC, E. (2006). On the debt capacity of growth options. The Journal of Business, 79(1), 37–59. https://doi.org/10.1086/497404
6. BAYAR Y. & SEZGIN H. F. (2017). Trade openness, inequality and poverty in Latin American countries. Ekonomika (Economics), 96(1), 47–57. https://doi.org/10.15388/ekon.2017.1.10663
7. BEALS, P. & SINGH, A. J. (2002). The evolution and development of equity REITS: The securitization of equity structures for financing the U.S. lodging industry. The Journal of Hospitality Financial Management, 10 (1), 15–33. Article 3. Available at: https://scholarworks.umass.edu/jhfm/vol10/iss1/3
8. BOUCHOUICHA, R. & FTITI, Z., (2012). Real estate markets and the macroeconomy: A dynamic coherence framework, Economic Modelling, Elsevier, 29(5), 1820–1829. https://doi.org/10.1016/j.econmod.2012.05.034

9. BRUEGGMAN, W. B. & FISHER, J. D. (2011). Real estate finance and investments, 4nd Edition, New York: McGrawhill Pbc.
10. BURCH, R. K. & TAYLOR, R. S., (1997). The internal conflicts of hotel REITs. Real Estate Review, 27 (3), 10–18.
11. CHAN, S. H., ERICKSON, J. & WANG, K., (2003). Real estate investment trusts: Structure, performance, and investment opportunities. New York: Oxford University Press.
12. CHOI, I. (2001). Unit root tests for panel data. Journal of International Money and Finance, 20(2), 249–272. https://doi.org/10.1016/S0261-5606(00)00048-6
13. COSKUN, Y., EROL, I. & MORRI, G. (2021). Why do Turkish REITs trade at discount to net asset value? Empirical Economics, 60, 2227–2259. https://doi.org/10.1007/s00181-020-01846-y
14. ÇELIK, E. & ARSLANLI, K. Y. (2020). Gayrimenkul yatırım ortaklığı firmalarının piyasa değeri ve aktif karlılığını etkileyen finansal oranların panel veri analizi yöntemiyle belirlenmesi. Muhasebe ve Finansman Dergisi – Ekim/2020, (88): 255–274. https://doi.org/10.25095/mufad.801491
15. DEMIRELI, E., BASCI, E. S. & KARACA, S. S. (2014). İşletme sermayesi ve performans göstergeleri arasındaki ilişkiler: Borsa İstanbul üzerine bir uygulama. Ege Stratejik Araştırmalar Dergisi, 5(1), 79–98. https://doi.org/10.18354/esam.19583
16. EROL, I. & TIRTIROGLU, D. (2011). Concentrated ownership, no dividend payout requirement and capital structure of REITs: Evidence from Turkey. The Journal of Real Estate Finance and Economics, 43(1-2), 174–204. https://doi.org/10.1007/s11146-010-9242-7
17. EROL, I., TIRTIROGLU, D., & TIRTIROGLU, E. (2020). Pricing of IPOs under legally-mandated concentrated ownership and commitment period: Evidence from a natural experiment for REITs in Turkey. Journal of Behavioral and Experimental Finance, 25 (Article number: 100245), 1–15. https://doi.org/10.1016/j.jbef.2019.100245
18. FAMA, E. F. & FRENCH, K. R. (2002). Testing trade-off and pecking order predictions about dividends and debt. The Review of Financial Studies, 15(1), 1–33. Retrieved May 15, 2021, from http://www.jstor.org/stable/2696797
19. FANG, H., CHANG, T-Y., LEE, Y-H & CHEN, W-J. (2016). The impact of macroeconomic factors on the real estate investment trust index return on Japan, 36 Singapore and China. Investment Management and Financial Innovations, 13(4-1), 242–253. https://doi.org/10.21511/imfi.13(4-1).2016.11
20. FATNASSI, I., SLIM, C., FTITI, Z., & MAATOUG, A. B. (2014). Effects of monetary policy on the REIT returns: Evidence from the United Kingdom. Research in International Business and Finance, 32, 15–26. https://doi.org/10.1016/j.ribaf.2014.01.001
21. Gayrimenkul Yatırım Ortaklıklarına İlişkin Esaslar Tebliği (III-48.1), 28 Mayıs 2013 Salı, Sayı: 28660. Retrieved May 15, 2021, from https://www.resmigazete.gov.tr/eskiler/2013/05/20130528-14.htm
22. Gayrimenkul Yatırım Ortaklıklarına İlişkin Esaslar Tebliği (III-48.1)’nde Değişiklik Yapılmasına Dair Tebliğ (III-48.1.e) 9 Ekim 2020 Cuma, Sayı: 31269. Retrieved May 15, 2021, from https://www.resmigazete.gov.tr/eskiler/2020/10/20201009-15.htm
23. GYODER, GOSTERGE, (2021). Gyoder, Gösterge, Türkiye Gayrimenkul Sektörü 2021, 1. Çeyrek Raporu, Sayı: 24, Gayrimenkul ve Gayrimenkul Yatırım Ortaklığı Derneği, İstanbul. (1–79) Retrieved May 15, 2021, from https://www.gyoder.org.tr/files/202106/636188ee-fdf1-40fc-81a0-46a688ae2b37.pdf
24. HARRISON, D. M., PANASIAN, C.A. & SEILER, M. J. (2011). Further evidence on the capital structure of REITs. Real Estate Economics, 39(1), 133–166. https://doi.org/10.1111/j.1540-6229.2010.00289.x
25. HEPSEN, A., BERBEROGLU, M. G., & AYDIN, O. (2017). Real estate investment trusts in Turkey: Structure, analysis, and strategy. Journal of Business Economics and Finance, 6(2), 191–199.
26. https://doi.org/10.17261/Pressacademia.2017.508
27. HSIAO, C. (2003). Analysis of Panel Data (2nd ed., Econometric Society Monographs). Cambridge: Cambridge University Press.
28. IM, K. S., PESARAN, M. H., & SHIN, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74. https://doi.org/10.1016/S0304-4076(03)00092-7
29. JAKPAR, S., TINGGI, M., TAK, A. H., & RUZLAN, N. A. (2018). Determinant factors of profitability in Malaysia’s real estate investment trusts (M-REITS). UNIMAS Review of Accounting and Finance, 2(1), 72–84. https://doi.org/10.33736/uraf.1209.2018
30. JENSEN, M. (1986). Agency costs of free cash flow, corporate finance, and takeovers. The American Economic Review, 76(2), 323–329. Retrieved May 15, 2021, from http://www.jstor.org/stable/1818789
31. KARIYAWASAM, H. N. (2019). Analysing the impact of financial ratios on a company’s financial performance. International Journal of Management Excellence, 13(1), 1898–1903. https://doi.org/10.17722/ijme.v13i1.1093
32. KHAIRULANUWAR, A. J. & CHUWENI, N. N. (2021). The significance and performance analysis of Malaysian real estate investment trusts. International Journal of Law and Management, 63(4), 417–430. https://doi.org/10.1108/IJLMA-01-2020-0022
33. LIU, J., LOUDON, G., & MILUNOVICH, G. (2012). Linkages between international REITs: The role of economic factors. Journal of Property Investment & Finance, 30(5), 473–492. https://doi.org/10.1108/14635781211256747
34. MADDALA, G. S. & WU, S. (1999). A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics, Special Issue, 61(S1), 631–652. https://doi.org/10.1111/1468-0084.0610s1631
35. MARFATIA, H. A., GUPTA, R., & CAKAN, E. (2017). The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises. The North American Journal of Economics and Finance, 42, 640–653. https://doi.org/10.1016/j.najef.2017.09.007
36. NGUYEN, M.-L. T., BUI, T. N., & NGUYEN, T. Q. (2019). Relationships between real estate markets and economic growth in Vietnam. The Journal of Asian Finance, Economics and Business, 6(1), 121–128. https://doi.org/10.13106/JAFEB.2019.VOL6.NO1.121
37. OZEL, H. A., SEZGIN, F. H. & TOPKAYA, O. (2013). Investigation, of economic growth and unemployment relationship for G7 countries using panel regression analysis. International Journal of Business and Social Science, 4(6), 162–170. Retrieved from http://ijbssnet.com/journals/Vol_4_No_6_June_2013/20.pdf
38. PESARAN, M. H. (2004). General diagnostic tests for cross section dependence in panels. CESifo Working Papers, (No. 1229) 1–40. https://doi.org/10.17863/CAM.5113 Retrieved from
39. https://www.cesifo.org/en/publikationen/2004/working-paper/general-diagnostic-tests-cross-section-dependence-panels
40. PESARAN, M. H. (2007). A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22(2), 265–312. https://doi.org/10.1002/jae.951
41. PESARAN, M. H. & YAMAGATA, T. (2008). Testing slope homogeneity in large panels. Journal of Econometrics, 142 (1), 50–93. https://doi.org/10.1016/j.jeconom.2007.05.010
42. PESARAN, M. H., ULLAH A., & YAMAGATA T. (2008). A bias-adjusted LM test of error cross-section independence. Econometrics Journal, 11 (1), 105-127. https://doi.org/10.1111/j.1368-423X.2007.00227.x
43. PIERDZIOCH, C., RISSE, M., GUPTA, R., & NYAKABAWO, W. (2018). On REIT returns and (un-) expected inflation: Empirical evidence based on Bayesian additive regression trees. Finance Research Letters, Elsevier, 30 (C), 160–169. https://doi.org/10.1016/j.frl.2018.09.010
44. RAJAN, R. G. & ZINGALES, L. (1995). What do we know about capital structure? Some evidence from international data. The Journal of Finance, 50(5), 1421–1460. https://doi.org/10.1111/j.1540-6261.1995.tb05184.x
45. RODENHOLM, R., & DE BERNARDI, D. (2013). Macroeconomic effects on securitized real estate markets: A comparative study of Sweden and Switzerland (Dissertation). Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-124109
46. SARKAYA, C. (2007). Gayrimenkul yatırım ortaklıkları üzerine bir inceleme ve Türkiye'ye ilişkin sektör analizi. Sosyal Bilimler Dergisi (1), 175-190. Retrieved from https://dergipark.org.tr/tr/pub/iusosbil/issue/9503/118781
47. TEKER, M. B. (1996). Sermaye piyasası araçları yoluyla gayrimenkul finansmanı ve yatırımı. Yayın No: 43, Ankara: Sermaye Piyasası Kurulu Yayınları.
48. TITMAN, S. & WESSELS, R. (1988). The Determinants of capital structure choice. The Journal of Finance, 43(1), 1–19. https://doi.org/10.1111/j.1540-6261.1988.tb02585.x
49. WOOLDRIDGE, J. M. (2010). Econometric Analysis of Cross Section and Panel Data. 2nd edition. Cambridge, Massachusetts, London, England: The MIT Press.
50. ZIETZ, E, SIRMANS, S. & FRIDAY, S. (2003). The environment and performance of real estate investment trusts. Journal of Real Estate Portfolio Management, 9 (2), 127–165. https://doi.org/10.1080/10835547.2003.12089679