The purpose of this master&rsquo / s thesis is to evaluate the performance of investment companies, namely Real Estate Investment Trusts (REITs) and Closed-End Funds (CEFs) in Turkey. In this study, three different models are used to evaluate the risk adjusted performances of Turkish investment companies. These models are: 1) the single-factor CAPM / 2) the Fama-French three-factor model / and 3) the Carhart&rsquo / s four factor model. The results of this study indicate that for the sample period from January 1997 to December 2009, Turkish REITs and Turkish CEFs neither overperform nor underperform the overall market. Intercepts in almost all models are statistically significantly not different from zero, implying that both REITs and CEFs are earning their expected returns. The results are robust to different models used in this study. Among employed models, the Fama-French three-factor model is the best in explaining the returns on both REITs and CEFs. In general, coefficients of the size and the book-to-market equity risk factors are significant and positive. The explanatory power of the regressions does not improve with the Carhart&rsquo / s four-factor model, since momentum factors have statistically insignificant coefficients in all regressions. Findings of this study have an important implication for the efficiency of the Istanbul Stock Exchange. The inability of professional money managers to beat the overall market could be taken as an evidence in favor of the ISE being either semi-strong or strong form efficient. On the other hand, lack of skills on the part of Turkish fund managers might be another explanation for their inability to surpass the performance of the overall market.

South African property investment vehicles consist of collective investment schemes in property (CISPs), also known as property unit trusts (PUTs) and property loan stock (PLS) companies. The application of sections 25B(1), 11(s), 10(1)(k)(i)(aa) and 64B(5)(b) of the Income Tax Act 58 of 1962 (“the Act”) and paragraph 67A(1) of the Eighth Schedule to the Act result in these property investment vehicles being taxed based on their legal form, that of a trust versus a company, rather than on their common purpose. The South African Revenue Service recognised these inconsistencies in the 2007/8 budget tax proposals and proposed that it be reviewed. In December 2007, National Treasury released a discussion paper on the reform of the listed property investment sector in South Africa. The discussion paper is aimed at adopting a real estate investment trust (REIT) regime in South Africa to make South African property investment vehicles more attractive to foreign investors as well as to address the current tax inconsistencies and fragmented regulation of the South African listed real estate sector. In this study, the current inconsistent tax treatment of these property investment vehicles is reviewed, both as to how they apply to the property investment vehicle and to their respective investors. This study further reviews how REITs in selected other countries are regulated and taxed and National Treasury’s proposals as to how REITs applicable in South Africa should be regulated and taxed. Copyright / Dissertation (MCom)--University of Pretoria, 2010. / Taxation / unrestricted

Submitted by Benjamin Liang (benliang_@yahoo.com) on 2017-12-29T20:26:35Z No. of bitstreams: 1 finanças-liang-versão FINAL.pdf: 1473193 bytes, checksum: f546881d098b6f4160c52d20cee1b999 (MD5) / Approved for entry into archive by Vera Lúcia Mourão (vera.mourao@fgv.br) on 2017-12-29T20:40:50Z (GMT) No. of bitstreams: 1 finanças-liang-versão FINAL.pdf: 1473193 bytes, checksum: f546881d098b6f4160c52d20cee1b999 (MD5) / Made available in DSpace on 2018-01-02T12:02:22Z (GMT). No. of bitstreams: 1 finanças-liang-versão FINAL.pdf: 1473193 bytes, checksum: f546881d098b6f4160c52d20cee1b999 (MD5) Previous issue date: 2017-12-05 / Este estudo tem como tema a aplicação de finanças comportamentais nos Fundos de Investimento Imobiliário (FIIs) brasileiros. Finanças comportamentais utilizam a psicologia para estudar o comportamento financeiro dos agentes. O comportamento manada, subtópico de finanças comportamentais analisado neste trabalho, pode ser definido como o movimento sincronizado dos preços dos ativos em uma forma exuberante e irracional que não é justificado pelos fundamentos. Tal questão é pertinente porque finanças comportamentais vai contra as premissas da economia neo-clássica, pilares para a Moderna Teoria de Finanças, das quais as mais relevantes são que os investidores são racionais e tomam decisões de forma independente. O objetivo deste estudo foi investigar a existência do comportamento manada em FIIs no Brasil. Para isso, o trabalho adotou uma abordagem quantitativa, através do modelo proposto por Chang et al. (2000), baseada em pesquisa de levantamento de banco de dados disponível no software Economatica dos retornos diários dos FIIs brasileiros. Adicionalmente, o trabalho também investigou se a existência do comportamento manada é influenciada pela utilização de outros indicadores de retorno de mercado, além do retorno médio transversal proposto por Chang et al. (2000), e pela separação da amostra em dias de alta e queda do retorno. O entendimento da dinâmica desta reação é importante para mapear o comportamento dos investidores em diferentes condições de mercado. Diferente das suposições que se encontraria o comportamento manada em mercados emergentes e em produtos onde os investidores são predominantemente pessoas físicas, os resultados deste trabalho apontam para a inexistência de comportamento manada no mercado brasileiro de FIIs. / The subject of this study is the application of behavioral finance on the Brazilian Real Estate Investment Trusts (REITs). Behavioral finance uses psychology to study the financial behavioral of the agents. Herding effect, a subtopic of behavioral finance analyzed in this study, can be defined as an exuberant and irrational synchronized movement of asset prices which is not justified by their fundamental values. This subject is pertinent because behavioral finance defies neoclassical economics assumptions, keystones for Modern Financial Theory, of which the most relevant are that investors are rational and make decisions independently. The purpose of this study was to investigate the existence of herding effect in the Brazilian REITs. The study adopted a quantitative approach, using the model proposed by Chang et al. (2000), based on daily returns of Brazilian REITs available on the software Economatica. Additionally, the study also investigated if the existence of herding effect is influenced by using other market return indexes, other than the cross-sectional average return proposed by Chang et al. (2000), and by separating the data in days of positive and negative return. Understanding the dynamics of this reaction is important to trace the investors’ behavior under different market conditions. Contrary to the assumptions that herding effect would be found in emerging markets and in investments in which investors are mainly individuals, the results of this study indicate the absence of herding effect in the Brazilian REITs market.