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: 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

Working Papers from HAL

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: 2017-03-20
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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-01492565

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