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Regulatory Environment and Pension Investment Performance

Author

Listed:
  • Ling-Ni Boon

    (CentER, Netspar, and Tilburg University - CentER, Netspar, and Tilburg University)

  • Marie Brière

    (LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris sciences et lettres - CNRS - Centre National de la Recherche Scientifique)

  • Carole Gresse

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris sciences et lettres - CNRS - Centre National de la Recherche Scientifique)

  • Bas J. M. Werker

    (CentER, Netspar, and Tilburg University - CentER, Netspar, and Tilburg University)

Abstract

Using the most comprehensive publicly available data to-date, we study the effect of three aspects of pension regulation (namely quantitative investment restrictions, minimum return or benefit guarantee, and the type of supervising authority) on risk-adjusted funded pension performance in 27 countries. Regulatory strictness' influence on the Sharpe ratio of investment return depends on a country's level of economic development. In emerging market economies, existence of quantitative investment restrictions across asset classes adversely affects risk-adjusted returns. This impact is more severe if higher investment limits are imposed on equities and foreign assets, as opposed to on bonds. Having a minimum benefit or return guarantee, as well as having a specialized supervising authority has no statistically significant effect on the risk-adjusted returns regardless of economic development.

Suggested Citation

  • Ling-Ni Boon & Marie Brière & Carole Gresse & Bas J. M. Werker, 2013. "Regulatory Environment and Pension Investment Performance," Post-Print hal-01492619, HAL.
    • Handle: RePEc:hal:journl:hal-01492619
    Note: View the original document on HAL open archive server: https://hal.science/hal-01492619
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    References listed on IDEAS

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