Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/313263 
Year of Publication: 
2019
Citation: 
[Journal:] Journal of Capital Markets Studies (JCMS) [ISSN:] 2514-4774 [Volume:] 3 [Issue:] 1 [Year:] 2019 [Pages:] 18-33
Publisher: 
Emerald, Bingley
Abstract: 
Purpose - The purpose of this paper is to provide an in-depth performance evaluation of funds offered by the Turkish pension system. Design/methodology/approach - This paper compares aggregate fund index returns with the corresponding asset class returns, estimates a factor model to decompose excess returns to factor exposures, i.e., ß return and excess return originating from residual » and analyzes persistence of fund returns using migration tables and Fama-MacBeth regressions and tests for market timing ability. Findings - Majority of pension funds are unable to generate excess returns. Majority of funds are unable to generate a positive » and fund returns are predominantly driven factor exposures. There is evidence for slight persistence in returns, mainly due to factor exposures and funds do not exhibit market timing ability. Originality/value - In this paper, the authors perform an in-depth analysis of pension fund performance for the Turkish pension fund system. The authors identify weaknesses and strengths of the pension fund industry and provide policy recommendations for a better design of pension fund system.
Subjects: 
Fund performance evaluation
Turkish pension system
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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