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Fonds de retraite et performance:la famille compte-t-elle ?

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  • Fabrice Hervé

    ()
    (Université de Bourgogne)

Abstract

(VF)Actuellement, la majorité des fonds mutuels ou des fonds de pension appartient à une famille. Une famille comprend les fonds gérés par la même société. Cet article s’intéresse à la performance des fonds de pension anglais à cotisations définies sur longue période. La performance est mesurée du point de vue de la famille de fonds. Ce changement de niveau d’analyse amène à s’interroger sur l’influence de la taille et donc de la complexité organisationnelle des sociétés de gestion de portefeuille sur leur performance. Autrement dit, les petites familles présentent-elles des performances supérieures à celles des grandes familles? (VA)Almost all mutual funds or pension funds belong to a family. A fund family includes all funds managed by the same fund management company. This paper studies the long-run performance of UK defined-contribution pension funds. Performance is measured with reference to the fund family. This approach leads to question the influence of size, and thus of organizational complexity, of fund management companies on their performance. In other words, do small families produce better performance than big families?

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File URL: http://leg2.u-bourgogne.fr/rev/112104.pdf
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Bibliographic Info

Article provided by revues.org in its journal Revue Finance Contrôle Stratégie.

Volume (Year): 11 (2008)
Issue (Month): 2 (June)
Pages: 79-104

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Handle: RePEc:dij:revfcs:v:11:y:2008:i:q2:p:79-104.

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Related research

Keywords: fonds; performance; famille; organisation; complexité; funds; performance; family; organization; complexity.;

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  1. Taylor, Jonathan, 2003. "Risk-taking behavior in mutual fund tournaments," Journal of Economic Behavior & Organization, Elsevier, vol. 50(3), pages 373-383, March.
  2. Chevalier, J. & Ellison, G., 1996. "Risk Taking by Mutual Funds as a Response to Incentives," Working papers 96-3, Massachusetts Institute of Technology (MIT), Department of Economics.
  3. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "The Persistence of Risk-Adjusted Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 69(2), pages 133-57, April.
  4. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  5. Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc.
  6. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
  7. Alan Gregory & Ian Tonks, 2004. "Performance of personal pension schemes in the UK," LSE Research Online Documents on Economics 24698, London School of Economics and Political Science, LSE Library.
  8. Joseph Chen & Harrison Hong & Ming Huang & Jeffrey D. Kubik, 2004. "Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization," American Economic Review, American Economic Association, vol. 94(5), pages 1276-1302, December.
  9. Kempf, Alexander & Ruenzi, Stefan, 2004. "Tournaments in mutual fund families," CFR Working Papers 04-02, University of Cologne, Centre for Financial Research (CFR).
  10. Khorana, Ajay, 2001. "Performance Changes following Top Management Turnover: Evidence from Open-End Mutual Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(03), pages 371-393, September.
  11. José-Miguel Gaspar & Massimo Massa & Pedro Matos, 2006. "Favoritism in Mutual Fund Families? Evidence on Strategic Cross-Fund Subsidization," Journal of Finance, American Finance Association, vol. 61(1), pages 73-104, 02.
  12. Khorana, Ajay, 1996. "Top management turnover An empirical investigation of mutual fund managers," Journal of Financial Economics, Elsevier, vol. 40(3), pages 403-427, March.
  13. Erik R. Sirri & Peter Tufano, 1998. "Costly Search and Mutual Fund Flows," Journal of Finance, American Finance Association, vol. 53(5), pages 1589-1622, October.
  14. Brown, Keith C & Harlow, W V & Starks, Laura T, 1996. " Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 51(1), pages 85-110, March.
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