The Behavior of Turkish Pension Plan Investors - Performance, Cost and Fund Flows

Abstract

We study the behavior of pension plan investors in Turkey regarding fund allocation and withdrawal with respect to return, risk and management fee. We find that investors avoid risk and there is a convex and positive relationship between risk-adjusted return and fund flows. Investors display disposition effect regarding nominal monthly return. Cost is a factor only for equity/foreign/gold funds group and present before the introduction of government contribution plan. Large funds experience net fund inflow while old funds experience net fund outflow indicating market competition force managements to reach to a certain size within a period. Plans offset fund outflow if they could keep investors with large portfolios.