A tournament analysis of mutual funds in Turkey

Orhan Erdem and Ayse Ozturkkal ()

Iktisat Isletme ve Finans, 2012, vol. 27, issue 321, 39-56

Abstract: This is an analysis of the mutual funds in Turkey with respect to their risk-altering behavior. Using the monthly returns and volatilities of 133 funds from 2002 to 2007, we divide each year in two parts and check whether or not the funds’ performance in the first part affects the behavior of mutual fund companies in the second part in terms of risk. We find sufficient evidence that the funds which have lower/higher performance in the first part of the year have higher/lower risk appetite for the second half of the year. The results have stronger significance if the year is divided from June or July. The results from the Turkish mutual funds market are generally in line with previous literature from developed countries.

Keywords: Portfolio risk; mutual funds; emerging markets (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2012
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