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Pension Regulation and Investment Performance: Rule-Based vs. Risk-Based

Author

Listed:
  • Ling Ni Boon

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

  • Marie Brière

    (LEDa - Laboratoire d'Economie de Dauphine - Université Paris-Dauphine)

  • Carole Gresse

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

  • Bas J.M. Werker

    (Tilburg University - Tilburg University [Netherlands])

Abstract

We investigate the relationship between rule-based versus risk-based regulatory choices in different countries and the real investment performance of their pension funds. Pension systems in countries with more mature risk-based regulatory regimes tend to demonstrate superior investment performance. The benefit of implementing risk-based regulation is more pronounced in countries with low regulatory quality. The core of rule-based regulations, i.e., quantitative investment limits, has no significant impact on the Sharpe ratio of pension investment returns.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Ling Ni Boon & Marie Brière & Carole Gresse & Bas J.M. Werker, 2013. "Pension Regulation and Investment Performance: Rule-Based vs. Risk-Based," Post-Print halshs-00959683, HAL.
  • Handle: RePEc:hal:journl:halshs-00959683
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00959683
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