Regulatory Environment and Pension Investment Performance

Ling-Ni Boon, Marie Brière, Carole Gresse and Bas J. M. Werker
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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

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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.

Keywords: Régulation bancaire et financière; Fonds d'épargne-retraite; Funded pension; Pension regulation (search for similar items in EconPapers)
Date: 2013-06
Note: View the original document on HAL open archive server: https://hal.science/hal-01492619v1
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Citations: View citations in EconPapers (5)

Published in 11th Workshop on Pension, Insurance and Savings, Jun 2013, Paris, France. pp.15

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01492619

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