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Performance Persistence of Dutch Pension Funds

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Author Info

  • Xiaohong Huang

    ()

  • Ronald Mahieu

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s10645-011-9176-3
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Bibliographic Info

Article provided by Springer in its journal De Economist.

Volume (Year): 160 (2012)
Issue (Month): 1 (March)
Pages: 17-34

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Handle: RePEc:kap:decono:v:160:y:2012:i:1:p:17-34

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Web page: http://www.springerlink.com/link.asp?id=100260

Related research

Keywords: Pension fund investment; Performance evaluation; z-score ; G23; C12;

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References

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  1. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
  2. Tonks, Ian, 2002. "Performance Persistence of Pension Fund Managers," Royal Economic Society Annual Conference 2002 175, Royal Economic Society.
  3. Huij, Joop & Verbeek, Marno, 2007. "Cross-sectional learning and short-run persistence in mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 973-997, March.
  4. Jacob A. Bikker & Dirk W.G.A. Broeders & David A. Hollanders & Eduard H.M. Ponds, 2009. "Pension funds' asset allocation and participant age: a test of the life-cycle model," DNB Working Papers 223, Netherlands Central Bank, Research Department.
  5. Coggin, T Daniel & Fabozzi, Frank J & Rahman, Shafiqur, 1993. " The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 48(3), pages 1039-55, July.
  6. Blake, David & Lehmann, Bruce N & Timmermann, Allan, 1999. "Asset Allocation Dynamics and Pension Fund Performance," The Journal of Business, University of Chicago Press, vol. 72(4), pages 429-61, October.
  7. Amit Goyal & Sunil Wahal, 2008. "The Selection and Termination of Investment Management Firms by Plan Sponsors," Journal of Finance, American Finance Association, vol. 63(4), pages 1805-1847, 08.
  8. Jacob Bikker & Jan de Dreu, 2006. "Pension fund efficiency: the impact of scale, governance and plan design," DNB Working Papers 109, Netherlands Central Bank, Research Department.
  9. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
  10. Mitchell A. Petersen, 2005. "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches," NBER Working Papers 11280, National Bureau of Economic Research, Inc.
  11. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
  12. Alestalo, Noora & Puttonen, Vesa, 2006. "Asset allocation in Finnish pension funds," Journal of Pension Economics and Finance, Cambridge University Press, vol. 5(01), pages 27-44, March.
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Citations

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Cited by:
  1. Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis, 2012. "Rentabilidad de los Fondos de Pensiones en España. 2001-2011," IESE Research Papers D/947, IESE Business School.

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