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

Ling Ni Boon, Marie Brière (), Carole Gresse () and Bas J.M. Werker
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Ling Ni Boon: DRM - Dauphine Recherches en Management - 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: Tilburg University [Netherlands]

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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.

Keywords: Funded pension; Risk regulation; Regulatory quality (search for similar items in EconPapers)
Date: 2014-02-26
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Published in 2014

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Working Paper: Pension Regulation and Investment Performance: Rule-Based vs. Risk-Based (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00959688

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