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Empirical Analysis of Risk Taking, Investment Efficiency and Diversification in Turkish Defined Contribution Pension Plans

Yıl 2022, Cilt: 22 Sayı: 4, 1313 - 1330, 28.12.2022
https://doi.org/10.18037/ausbd.1225920

Öz

This article empirically studies the risk levels of individual pension portfolios, investment efficiency and also the diversification of the pension investors in Türkiye with a novel administrative data with the month-end snapshots in December 2019. To examine the risk taking behavior, investment efficiency and the level of diversification of the Turkish pension investors, we compute beta coefficients, total risk together with idiosyncratic and systematic risk, Sharpe Ratio, the loss from under-diversification of investors’ pension portfolios. The results indicate that a substantial heterogeneity is evident in portfolio risk and the idiosyncratic risk contributes much more. We also find significant evidence on the inefficiency of investment and our results suggest that most of the Turkish pension investors design their portfolios inefficiently. The losses from under-diversification is widespread among Turkish investors as only a quarter of investors achieve risk reward profile better than the risk reward profile of the domestic benchmark equity index BIST 100.

Kaynakça

  • Balsızan, H. N. (2016). Emeklilik sistemi dahilinde faaliyet gösteren emeklilik yatırım fonlarının performans değerlendirmesi. (Unpublished PhD Thesis). T.C. İstanbul Üniversitesi, Sosyal Bilimler Enstitüsü, İstanbul. Retrieved from: http://nek.istanbul.edu.tr:4444/ekos/TEZ/55066.pdf
  • Benartzi, S. and Thaler, R. H. (2007). Heuristics and biases in retirement savings behavior. Journal of Economic Perspectives, 21(3), 81-104. doi.org/10.1257/jep.21.3.81
  • Black, S. E., Devereux, P. J., Lundborg, P. and Majlesi, K. (2018). Learning to take risks? The effect of education on risk-taking in financial markets. Review of Finance, 22(3), 951-975. doi.org/10.1093/rof/rfy005
  • Bodie, Z. (1990). Pension as retirement income insurance. Journal of Economic Literature, 28(1), 28-49. Retirived from: https://www.jstor.org/stable/2727190
  • Börsch-Supan, A., Härtl, K. and Leite, D. N. (2016). Social security and public insurance. J. Piggott and A. Woodland (Eds.), In Handbook of the Economics of Population Aging (pp. 781-863). North-Holland: Elsevier. doi.org/10.1016/bs.hespa.2016.09.002
  • Calvet, L. E., Campbell, J. Y. and Sodini, P. (2007). Down or out: Assessing the welfare costs of household investment mistakes. Journal of Political Economy, 115(5), 707-747. doi.org/10.1086/524204
  • Calvet, L. E., Campbell, J. Y. and Sodini, P. (2009). Fight or flight? Portfolio rebalancing by individual investors. The Quarterly Journal of Economics, 124(1), 301-348. doi.org/10.3386/w14177
  • Calvet, L. E., Campbell, J. Y., Gomes, F., and Sodini, P. (2021). The cross-section of household preferences (No. w28788). NBER Working Paper Series, National Bureau of Economic Research, Cambridge. doi.org/10.3386/w28788
  • Can, Y. (2010). Bireysel emekliliğin Türkiye’deki durumu ve gelişimi. Ekonomi Bilimleri Dergisi, 2(2), 139-146. Retrieved from: https://dergipark.org.tr/tr/pub/ebd/issue/4856/66804
  • Chang, B.S. and Hwang E.Y. (2010). Pension fund risk management: Financial and actuarial modeling. M. Micocci, G.N. Gregoriou, and G.B. Masala (Eds.). Investment Decisions in Defined Contribution Pension Schemes Incorporating Incentives Mechanism (pp. 4-39) New York: CRC Press. doi.org/10.1201/9781439817544
  • Chovancova, B., Hudcovsky, J., and Kotaskova, A. (2019). The impact of stocks and bonds on pension fund performance. Journal of Competitiveness, 11(2), 22-35. doi.org/10.7441/joc.2019.02.02
  • Cichon, M. and Latulippe, D. (1998). Comprehensive quantitative modelling for a better pension strategy. Organisation for Economic Co-operation and Development (OECD) Working Paper, Aging Working Papers 3.6, 1-34. Retrieved from: https://www.oecd.org/els/public-pensions/2428871.pdf
  • Cole, S., Paulson, A. and Shastry, G. K. (2014). Smart money? The effect of education on financial outcomes. The Review of Financial Studies, 27(7), 2022-2051. doi.org/10.1093/rfs/hhu012
  • Egan, M. L., MacKay, A. and Yang, H. (2021). What drives variation in investor portfolios? Evidence from retirement plans (No. w29604). NBER Working Paper Series, National Bureau of Economic Research, 1-87. doi.org/10.3386/w29604
  • Ergenekon, Ç. (2001) Emekliliğin finansmanı, global özel emeklilik fonu uygulamaları ışığında ülkemiz için öneriler. İstanbul: Enis Matbaacılık
  • Erol, I. S. (2019). Sosyal güvenlik açısından bireysel emeklilik sisteminin önemi. İktisadi Yenilik Dergisi, 6(2), 10-29. Retrieved from: https://dergipark.org.tr/tr/pub/iy/issue/46636/530137
  • Gomes, F., Haliassos, M. and Ramadorai, T. (2021). Household finance. Journal of Economic Literature, 59(3), 919-1000. doi.org/10.1257/jel.20201461
  • Guiso, L. and Sodini, P. (2013). Chapter 21 - Household finance: An emerging field. G.M. Constantinides, M. Harris and R.M. Stulz (Eds.) Handbook of the Economics of Finance, 2(Part B), 1397-1532. doi.org/10.1016/B978-0-44-459406-8.00021-4
  • Güvercin, C.H. (2004). Sosyal Güvenlik Kavramı ve Türkiye’de Sosyal Güvenliğin Tarihçesi. Ankara Üniversitesi Tıp Fakültesi Mecmuası, 57(2), 89-95. Retrieved from: https://dergipark.org.tr/en/download/article-file/38937
  • İlhan, B. (2016). OECD ülkeleriyle karşılaştırmalı olarak Türkiye'de bireysel emeklilik sistemindeki gelişmeler üzerine eleştirel bir yaklaşım. Üçüncü Sektör Sosyal Ekonomi, 51(2), 157-184. Retrieved from: http://www.makalesistemi.com/panel/files/manuscript_files_publish/e61942b4897972dd6a60f8037db34c7c/5ab33da6d442c480af0f8eb3fd7da072/622da8198252efb.pdf
  • Ionescu, O.C. (2013). The evolution and sustainability of pension systems the role of the private pensions in regard to adequate and sustainable pensions. Journal of Knowledge Management, Economics and Information Technology, 3(6), 159-181. Retrieved from: http://www.scientificpapers.org/wp-content/files/13_Ionescu_Oana_THE_EVOLUTION_AND_SUSTAINABILITY_OF_PENSION_SYSTEMS.pdf
  • Kara, S. and Yıldız, Y. (2016). Türkiye’de bireysel emeklilik sistemi: 2012 sonrası yapılan reformlar ve beklentiler. İşletme ve İktisat Çalışmaları Dergisi, 4(1), 23-45. Retrieved from: https://dergipark.org.tr/en/download/article-file/355419
  • Thomas, A., Spataro L. and Mathew, M. (2014). Pension funds and stock market volatility: An empirical analysis of OECD countries. Journal of Financial Stability, 11, 92-103, doi.org/10.1016/j.jfs.2014.01.001
  • Türkoğlu, İ. (2013). Sosyal devlet bağlamında Türkiye’de sosyal yardım ve sosyal güvenlik, Akademik İncelemeler Dergisi, 8(3), 275-305. Retrieved from: https://dergipark.org.tr/en/download/article-file/17712
  • OECD (2022). OECD data, young population, total, % of population, 2021 or latest available. [Data set]. OECD. Retrieved from: https://data.oecd.org/pop/young-population.htm#indicator-chart
  • OECD (2020). OECD Pensions outlook 2020 – Highlights. OECD Publishing, Paris. Retrieved from: https://www.oecd.org/daf/fin/private-pensions/Pensions-Outlook-2020-highlights.pdf
  • OECD and IOPS, (2011). OECD/ IOPS Good Practices for Pension Funds’ Risk Management Systems. Retrieved from: https://www.oecd.org/daf/fin/private-pensions/46864889.pdf
  • Sezgin, S. and Yıldırım, T. (2015). Türkiye’de bireysel emeklilik sisteminin etkinliği. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 10(2), 123-140. Retrieved from: https://www.researchgate.net/publication/289506411_Turkiye'_de_Bireysel_Emeklilik_Sisteminin_Etkinligi
  • Sharpe, W. F. (1966). Mutual Fund Performance. The Journal of Business, 39(1), 119–138. Retrieved from: http://www.jstor.org/stable/2351741
  • Türkiye Sigorta, (2022). Bireysel Emeklilikte Otomatik Katılım. Retrieved from: https://www.otomatikbes.info/files/otomatik-katilim-nedir.pdf
  • Uluçay, H., Keser, İ.K. and Kocakoç, İ.D. (2020), Türkiye’de bireysel emeklilik sistemine giriş kararlarını etkileyen faktörler ve 2017 sonrası sistemde yapılan düzenlemeler, Aydın Adnan Menderes University Journal of Institute of Social Sciences, 7(1), 115-137. Retrieved from: https://dergipark.org.tr/en/download/article-file/17712
  • Wang, P., Zhang, M., Shand, R. and Howell, K. (2014) Retirement, pension systems and models of pension systems (June 6, 2014). Available at SSRN: https://ssrn.com/abstract=2476907. doi.org/10.2139/ssrn.2476907
  • World Bank. (2000). Portfolio limits: Pension investment restrictions compromise fund performance. World Bank Pension Reform Primer Series. World Bank: Washington, DC. Retrieved from: https://openknowledge.worldbank.org/handle/10986/11445
  • Yaşarlar, Y. (2016). Aktüeryal dengenin sürdürülebilirliği: Türkiye deneyimi, (Unpublished PhD Thesis). T.C. İstanbul Üniversitesi, Sosyal Bilimler Enstitüsü, İstanbul. Retrieved from: http://nek.istanbul.edu.tr:4444/ekos/TEZ/54721.pdf
  • Yao, H., Lai, Y., Ma, Q. and Jian, M. (2014). Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean-variance framework. Insurance: Mathematics and Economics, 54(1), 84–92, doi.org/10.1016/j.insmatheco.2013.10.016.
Yıl 2022, Cilt: 22 Sayı: 4, 1313 - 1330, 28.12.2022
https://doi.org/10.18037/ausbd.1225920

Öz

Kaynakça

  • Balsızan, H. N. (2016). Emeklilik sistemi dahilinde faaliyet gösteren emeklilik yatırım fonlarının performans değerlendirmesi. (Unpublished PhD Thesis). T.C. İstanbul Üniversitesi, Sosyal Bilimler Enstitüsü, İstanbul. Retrieved from: http://nek.istanbul.edu.tr:4444/ekos/TEZ/55066.pdf
  • Benartzi, S. and Thaler, R. H. (2007). Heuristics and biases in retirement savings behavior. Journal of Economic Perspectives, 21(3), 81-104. doi.org/10.1257/jep.21.3.81
  • Black, S. E., Devereux, P. J., Lundborg, P. and Majlesi, K. (2018). Learning to take risks? The effect of education on risk-taking in financial markets. Review of Finance, 22(3), 951-975. doi.org/10.1093/rof/rfy005
  • Bodie, Z. (1990). Pension as retirement income insurance. Journal of Economic Literature, 28(1), 28-49. Retirived from: https://www.jstor.org/stable/2727190
  • Börsch-Supan, A., Härtl, K. and Leite, D. N. (2016). Social security and public insurance. J. Piggott and A. Woodland (Eds.), In Handbook of the Economics of Population Aging (pp. 781-863). North-Holland: Elsevier. doi.org/10.1016/bs.hespa.2016.09.002
  • Calvet, L. E., Campbell, J. Y. and Sodini, P. (2007). Down or out: Assessing the welfare costs of household investment mistakes. Journal of Political Economy, 115(5), 707-747. doi.org/10.1086/524204
  • Calvet, L. E., Campbell, J. Y. and Sodini, P. (2009). Fight or flight? Portfolio rebalancing by individual investors. The Quarterly Journal of Economics, 124(1), 301-348. doi.org/10.3386/w14177
  • Calvet, L. E., Campbell, J. Y., Gomes, F., and Sodini, P. (2021). The cross-section of household preferences (No. w28788). NBER Working Paper Series, National Bureau of Economic Research, Cambridge. doi.org/10.3386/w28788
  • Can, Y. (2010). Bireysel emekliliğin Türkiye’deki durumu ve gelişimi. Ekonomi Bilimleri Dergisi, 2(2), 139-146. Retrieved from: https://dergipark.org.tr/tr/pub/ebd/issue/4856/66804
  • Chang, B.S. and Hwang E.Y. (2010). Pension fund risk management: Financial and actuarial modeling. M. Micocci, G.N. Gregoriou, and G.B. Masala (Eds.). Investment Decisions in Defined Contribution Pension Schemes Incorporating Incentives Mechanism (pp. 4-39) New York: CRC Press. doi.org/10.1201/9781439817544
  • Chovancova, B., Hudcovsky, J., and Kotaskova, A. (2019). The impact of stocks and bonds on pension fund performance. Journal of Competitiveness, 11(2), 22-35. doi.org/10.7441/joc.2019.02.02
  • Cichon, M. and Latulippe, D. (1998). Comprehensive quantitative modelling for a better pension strategy. Organisation for Economic Co-operation and Development (OECD) Working Paper, Aging Working Papers 3.6, 1-34. Retrieved from: https://www.oecd.org/els/public-pensions/2428871.pdf
  • Cole, S., Paulson, A. and Shastry, G. K. (2014). Smart money? The effect of education on financial outcomes. The Review of Financial Studies, 27(7), 2022-2051. doi.org/10.1093/rfs/hhu012
  • Egan, M. L., MacKay, A. and Yang, H. (2021). What drives variation in investor portfolios? Evidence from retirement plans (No. w29604). NBER Working Paper Series, National Bureau of Economic Research, 1-87. doi.org/10.3386/w29604
  • Ergenekon, Ç. (2001) Emekliliğin finansmanı, global özel emeklilik fonu uygulamaları ışığında ülkemiz için öneriler. İstanbul: Enis Matbaacılık
  • Erol, I. S. (2019). Sosyal güvenlik açısından bireysel emeklilik sisteminin önemi. İktisadi Yenilik Dergisi, 6(2), 10-29. Retrieved from: https://dergipark.org.tr/tr/pub/iy/issue/46636/530137
  • Gomes, F., Haliassos, M. and Ramadorai, T. (2021). Household finance. Journal of Economic Literature, 59(3), 919-1000. doi.org/10.1257/jel.20201461
  • Guiso, L. and Sodini, P. (2013). Chapter 21 - Household finance: An emerging field. G.M. Constantinides, M. Harris and R.M. Stulz (Eds.) Handbook of the Economics of Finance, 2(Part B), 1397-1532. doi.org/10.1016/B978-0-44-459406-8.00021-4
  • Güvercin, C.H. (2004). Sosyal Güvenlik Kavramı ve Türkiye’de Sosyal Güvenliğin Tarihçesi. Ankara Üniversitesi Tıp Fakültesi Mecmuası, 57(2), 89-95. Retrieved from: https://dergipark.org.tr/en/download/article-file/38937
  • İlhan, B. (2016). OECD ülkeleriyle karşılaştırmalı olarak Türkiye'de bireysel emeklilik sistemindeki gelişmeler üzerine eleştirel bir yaklaşım. Üçüncü Sektör Sosyal Ekonomi, 51(2), 157-184. Retrieved from: http://www.makalesistemi.com/panel/files/manuscript_files_publish/e61942b4897972dd6a60f8037db34c7c/5ab33da6d442c480af0f8eb3fd7da072/622da8198252efb.pdf
  • Ionescu, O.C. (2013). The evolution and sustainability of pension systems the role of the private pensions in regard to adequate and sustainable pensions. Journal of Knowledge Management, Economics and Information Technology, 3(6), 159-181. Retrieved from: http://www.scientificpapers.org/wp-content/files/13_Ionescu_Oana_THE_EVOLUTION_AND_SUSTAINABILITY_OF_PENSION_SYSTEMS.pdf
  • Kara, S. and Yıldız, Y. (2016). Türkiye’de bireysel emeklilik sistemi: 2012 sonrası yapılan reformlar ve beklentiler. İşletme ve İktisat Çalışmaları Dergisi, 4(1), 23-45. Retrieved from: https://dergipark.org.tr/en/download/article-file/355419
  • Thomas, A., Spataro L. and Mathew, M. (2014). Pension funds and stock market volatility: An empirical analysis of OECD countries. Journal of Financial Stability, 11, 92-103, doi.org/10.1016/j.jfs.2014.01.001
  • Türkoğlu, İ. (2013). Sosyal devlet bağlamında Türkiye’de sosyal yardım ve sosyal güvenlik, Akademik İncelemeler Dergisi, 8(3), 275-305. Retrieved from: https://dergipark.org.tr/en/download/article-file/17712
  • OECD (2022). OECD data, young population, total, % of population, 2021 or latest available. [Data set]. OECD. Retrieved from: https://data.oecd.org/pop/young-population.htm#indicator-chart
  • OECD (2020). OECD Pensions outlook 2020 – Highlights. OECD Publishing, Paris. Retrieved from: https://www.oecd.org/daf/fin/private-pensions/Pensions-Outlook-2020-highlights.pdf
  • OECD and IOPS, (2011). OECD/ IOPS Good Practices for Pension Funds’ Risk Management Systems. Retrieved from: https://www.oecd.org/daf/fin/private-pensions/46864889.pdf
  • Sezgin, S. and Yıldırım, T. (2015). Türkiye’de bireysel emeklilik sisteminin etkinliği. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 10(2), 123-140. Retrieved from: https://www.researchgate.net/publication/289506411_Turkiye'_de_Bireysel_Emeklilik_Sisteminin_Etkinligi
  • Sharpe, W. F. (1966). Mutual Fund Performance. The Journal of Business, 39(1), 119–138. Retrieved from: http://www.jstor.org/stable/2351741
  • Türkiye Sigorta, (2022). Bireysel Emeklilikte Otomatik Katılım. Retrieved from: https://www.otomatikbes.info/files/otomatik-katilim-nedir.pdf
  • Uluçay, H., Keser, İ.K. and Kocakoç, İ.D. (2020), Türkiye’de bireysel emeklilik sistemine giriş kararlarını etkileyen faktörler ve 2017 sonrası sistemde yapılan düzenlemeler, Aydın Adnan Menderes University Journal of Institute of Social Sciences, 7(1), 115-137. Retrieved from: https://dergipark.org.tr/en/download/article-file/17712
  • Wang, P., Zhang, M., Shand, R. and Howell, K. (2014) Retirement, pension systems and models of pension systems (June 6, 2014). Available at SSRN: https://ssrn.com/abstract=2476907. doi.org/10.2139/ssrn.2476907
  • World Bank. (2000). Portfolio limits: Pension investment restrictions compromise fund performance. World Bank Pension Reform Primer Series. World Bank: Washington, DC. Retrieved from: https://openknowledge.worldbank.org/handle/10986/11445
  • Yaşarlar, Y. (2016). Aktüeryal dengenin sürdürülebilirliği: Türkiye deneyimi, (Unpublished PhD Thesis). T.C. İstanbul Üniversitesi, Sosyal Bilimler Enstitüsü, İstanbul. Retrieved from: http://nek.istanbul.edu.tr:4444/ekos/TEZ/54721.pdf
  • Yao, H., Lai, Y., Ma, Q. and Jian, M. (2014). Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean-variance framework. Insurance: Mathematics and Economics, 54(1), 84–92, doi.org/10.1016/j.insmatheco.2013.10.016.
Toplam 35 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Güzhan Gülay Bu kişi benim

Korkmaz Ergun Bu kişi benim

Yaşar Ersan Bu kişi benim

Yayımlanma Tarihi 28 Aralık 2022
Gönderilme Tarihi 26 Eylül 2022
Yayımlandığı Sayı Yıl 2022 Cilt: 22 Sayı: 4

Kaynak Göster

APA Gülay, G., Ergun, K., & Ersan, Y. (2022). Empirical Analysis of Risk Taking, Investment Efficiency and Diversification in Turkish Defined Contribution Pension Plans. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 22(4), 1313-1330. https://doi.org/10.18037/ausbd.1225920