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An examination of Turkish equity pension funds for selectivity and market timing performance

Author

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  • Ali Osman Gurbuz
  • Yusuf Ayturk

Abstract

This paper investigates market timing and selectivity performance of equity pension funds in Turkey over the period of March 2006-February 2011. Single index model is used to test the ability of selecting financial assets correctly and Quadratic Treynor-Mazuy (TM) and Henriksson-Merton (HM) models are used to test the market timing ability of equity pension fund managers. The results of this paper prove that Turkish equity pension fund managers do not have consistent and superior market timing and selectivity abilities over the period of March 2006-February 2011. The results of this study should be of interest to individual investors seeking to maximise value of their pension plans.

Suggested Citation

  • Ali Osman Gurbuz & Yusuf Ayturk, 2012. "An examination of Turkish equity pension funds for selectivity and market timing performance," International Journal of Financial Services Management, Inderscience Enterprises Ltd, vol. 5(4), pages 321-342.
    • Handle: RePEc:ids:ijfsmg:v:5:y:2012:i:4:p:321-342
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