Economics at your fingertips  

Performance of Spanish pension funds: robust evidence from alternative models

Mercedes Alda, Luis Ferruz and Liam Gallagher ()

Applied Financial Economics, 2013, vol. 23, issue 4, 297-314

Abstract: This article investigates the performance of Spanish pension funds using a range of linear and nonlinear performance models. As the sample presents characteristics of higher-order moments, traditional performance measures are distorted. We generate alternative performance models which include higher-order risk factors that model skewness and kurtosis; factors that capture nonlinearity inherent in some of the underlying assets used in pension funds. The results suggest that Spanish pension funds exhibit positive market timing and selectivity ability. Moreover, this positive performance is robust to the model used to adjust performance for risk, including the higher-order risk factors. The stronger performing pension funds have a higher exposure to size and book-to-market risk. Also, small-sized funds and funds with less volatility exhibit stronger performance.

Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

DOI: 10.1080/09603107.2012.720011

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Page updated 2020-11-26
Handle: RePEc:taf:apfiec:v:23:y:2013:i:4:p:297-314