Salient features of a family of short-tailed symmetric distributions, introduced recently by Tiku and Vaughan [1], are enunciated. Assuming the error distribution to be one of this family, the methodology of modified likelihood is used to derive MML estimators of parameters in a linear regression model. The estimators are shown to be efficient, and robust to inliers. This paper is essentially the first to achieve robustness to inliers. The methodology is extended to long-tailed symmetric distributions and the resulting estimators are shown to be efficient, and robust to outliers. This paper should be read in conjunction with Islam et al. [2]who develop modified likelihood methodology for skew distributions in the context of linear regression.

This paper analyzes return enhancement patterns of Turkish REITs (T-REITs) from various perspectives over the period of July 2008 and March 2015. We find that T-REITs portfolio provides a slightly lower level of risk diversification benefit than investment trusts, but higher than the banks. The evidence suggests that portfolio managers and investors may not only be able to utilize knowledge deriving from the CAPM, but also utilize information retrieved from Fama-French model due to its relatively better performance on capturing the variation in T-REITs returns. Results also disclose that T-REITs show a degree of diversity in property focus, and reveal mainly defensive, small and financially distressed characteristics. Finally, based on the multiple observations, a case can be made for a possible linkage between property focus and yield improvement/risk taking structure of T-REITs. This study provides implications for the capacity of T-REITS and improve return enhancement capacity in an efficient portfolio management. Keywords: REIT, CAPM, Fama-French model, Turkish REITs, Borsa Istanbul, JEL codes: R30, G12, G1