Do they beat the market in the new regulatory environment – the case of Polish pension funds

Radosław Kurach

Economic Research-Ekonomska Istraživanja, 2019, vol. 32, issue 1, 370-383

Abstract: In this study, we attempt to verify if the funds constituting the (quasi)mandatory capital pillar of the Polish pension system outperformed the market in the 2014–2016 period. This research objective was raised a few times in the past, but nowadays it gains a new context. In our research the sample starts at the moment when a set of regulations was implemented to facilitate competition among funds, which should further translate into improved portfolio results. Analysing the monthly data, we employ the Performance Change Measurement approach of Grinblatt and Titman (1993) to address the question of the investment outcomes. Despite the fact that the relatively short period is verified, we do not find any convincing proof of the superior portfolio performance under the new regulatory framework. Consequently, we argue that further changes should be oriented toward fund fee reduction rather than motivating managers to greater analytical effort.

Date: 2019
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DOI: 10.1080/1331677X.2018.1561319

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