Performance Persistence of Spanish Pension Funds: The Best Winners and Losers Usually Repeat
AbstractIn this paper, we analyse the persistence phenomenon on the returns obtained by Spanish equity pension funds in the period 1999–2006, an unexplored topic in the Spanish financial market, one of the most emerging pension fund industries in the European Union. We provide evidence for a short-run persistence in some of the yearly periods analysed by using a contingency table approach. In this sense, we firstly apply 2 × 2 contingency tables to observe whether the best or worst managed funds repeat in this situation in consecutive years and to check the existence of this phenomenon for the whole investment period analysed. Then, the study improves the methodological approach by using 4 × 4 contingency tables, a research that leads us to interesting results confirming the findings obtained with the previous analysis and determining the pension funds that cause the persistence. On the other hand, this paper also examines the existence of long-run performance persistence obtaining worse results in general. More specifically, a minority of funds show a constant winning (losing) behaviour, presenting important (deficient) management skills. The Geneva Papers (2007) 32, 583–594. doi:10.1057/palgrave.gpp.2510146
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Palgrave Macmillan in its journal The Geneva Papers on Risk and Insurance Issues and Practice.
Volume (Year): 32 (2007)
Issue (Month): 4 (October)
Contact details of provider:
Web page: http://www.palgrave-journals.com/
Postal: Palgrave Macmillan Journals, Subscription Department, Houndmills, Basingstoke, Hampshire RG21 6XS, UK
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Elizabeth Gale).
If references are entirely missing, you can add them using this form.