The main purpose of this study is to analyse the performance stability of REIT Index and individual REITs over different sub-periods. The performance of the REITs is compared to mainly that of BIST 100 Index. For analysing the performance stability, three different riskadjusted measures, namely Sharpe ratio, Treynor ratio and Jensen's alpha, are employed for four different periods. These periods are determined with respect to important regulatory changes in the Turkish REIT market and also to

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... onomic states of the country. The results show that Treynor and Sharpe ratios rank the REITs consistently for the high-growth periods. However, the rankings are not that consistent in low-growth periods and even they may contrast significantly. The results also show us that regulatory changes almost have no impact on the performances of the REITs. On the other hand, time-varying behaviour of betas also makes it difficult to attribute the changes in performances to states of economy