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Communication Dans Un Congrès Année : 2013

Regulatory Environment and Pension Investment Performance

Résumé

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.
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Dates et versions

hal-01492619 , version 1 (20-03-2017)

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  • HAL Id : hal-01492619 , version 1

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Ling-Ni Boon, Marie Brière, Carole Gresse, Bas J. M. Werker. Regulatory Environment and Pension Investment Performance. 11th Workshop on Pension, Insurance and Savings, Jun 2013, Paris, France. pp.15. ⟨hal-01492619⟩
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