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Private pension systems : cross-country investment performance

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  • Musalem, Alberto R.
  • Pasquini, Ricardo
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    Abstract

    This study investigates the performance of private pensions systems across countries a topic which has yet to be adequately addressed in the literature. Specifically, this study examines the relationship between pension fund performance (as captured by gross real rates of return and the three year standard deviation of those returns) and the structure of a country's private pension industry and the design of its pension schemes. A database covering 27 countries over the period 1990-2007 was created for this research. The study's key findings include: (i) higher returns are associated with size (systems with more assets under management tend to generate higher returns), type (occupational schemes tend to generate higher returns than do personal pension schemes and closed schemes tend to generate higher returns than do open schemes), and number (systems with multiple funds tend to generate higher returns than those with a single fund); and (ii) lower volatility in pension system returns is associated with older systems, voluntary (rather than mandatory) systems, systems with restrictions on foreign investing, and systems with minimum return guarantees.

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    Bibliographic Info

    Paper provided by The World Bank in its series Social Protection Discussion Papers with number 68937.

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    Date of creation: 01 May 2012
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    Handle: RePEc:wbk:hdnspu:68937

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    Related research

    Keywords: Debt Markets; Emerging Markets; Mutual Funds; Economic Theory&Research; Currencies and Exchange Rates;

    This paper has been announced in the following NEP Reports:

    References

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    1. Solange Berstein & Rómulo Chumacero, 2005. "Cuantificación de los Costos de los Limites de Inversión para los Fondos de Pensiones Chilenos," Working Papers 3, Superintendencia de Pensiones, revised Apr 2005.
    2. Jan Kakes, 2006. "Financial behaviour of Dutch pension funds: a disaggregated approach," DNB Working Papers 108, Netherlands Central Bank, Research Department.
    3. Jorge A. Chan-Lau, 2004. "Pension Funds and Emerging Markets," IMF Working Papers 04/181, International Monetary Fund.
    4. Kemna, A.G.Z. & Ponds, E.H.M. & Steenbeek, O.W., 2012. "Pension funds in The Netherlands," Open Access publications from Tilburg University urn:nbn:nl:ui:12-5258235, Tilburg University.
    5. Gary Burtless, 2007. "International Investment for Retirement Savers: Historical Evidence on Risk and Returns," Working Papers, Center for Retirement Research at Boston College wp2007-05, Center for Retirement Research, revised Feb 2007.
    6. Djankov, Simeon & McLiesh, Caralee & Shleifer, Andrei, 2007. "Private credit in 129 countries," Journal of Financial Economics, Elsevier, vol. 84(2), pages 299-329, May.
    7. Lopez-de-Silanes, Florencio & Djankov, Simeon & La Porta, Rafael & Shleifer, Andrei, 2008. "The Law and Economics of Self-dealing," Scholarly Articles 2907526, Harvard University Department of Economics.
    8. Pereda Javier, 2007. "Estimación de la Frontera Eficiente para las AFP en el Perú y el Impacto de los Límites de Inversión: 1995-2004," Working Papers 2007-009, Banco Central de Reserva del Perú.
    9. Walker, Eduardo & Lefort, Fernando, 2002. "Pension reform and capital markets : are there any (hard) links?," Social Protection Discussion Papers 24082, The World Bank.
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