Market Timing Analysis of Turkish Pension Funds Using Smooth Transition Models

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dc.WoS.categoriesBusiness, Finance; Economicsen_US
dc.contributor.authorÖzdinçer, Begümhan
dc.contributor.authorÖzyıldırım, Cenktan
dc.date.accessioned2021-02-24T11:23:00Z
dc.date.available2021-02-24T11:23:00Z
dc.date.issued2013-09
dc.description.abstractThis article investigates by applying the smooth transition autoregressive model whether pension fund managers can implement successfully market timing strategy to earn abnormal returns and analyze their risk return performances. Unlike the classical market timing models used extensively in the literature this regime switching model allows for a continuum of regimes without making restrictive assumptions as in the classical market timing models. The methodology allows for a better approximation of the pension fund managers' investment behavior The results show that funds that show non-linearity in their asset allocation cannot apply successful market timing strategies. Therefore it is not justifiable for pension fund investors to invest in these riskier funds to generate excess returns and pay higher management fees.en_US
dc.fullTextLevelFull Texten_US
dc.identifier.doi10.3848/iif.2013.330.3832en_US
dc.identifier.issn1300-610X
dc.identifier.urihttps://hdl.handle.net/11411/3285
dc.identifier.urihttps://doi.org/10.3848/iif.2013.330.3832
dc.identifier.wosWOS:000325234000003en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.issue330en_US
dc.language.isotren_US
dc.nationalNationalen_US
dc.numberofauthors2en_US
dc.pages61-80en_US
dc.publisherBilgesel Yayincilik San & Tic Ltden_US
dc.relation.ispartofIktisat Isletme Ve Finansen_US
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectPension fundsen_US
dc.subjectMarket timingen_US
dc.subjectSmooth transition modelsen_US
dc.titleMarket Timing Analysis of Turkish Pension Funds Using Smooth Transition Modelsen_US
dc.typeArticleen_US
dc.volume28en_US

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