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

Boon, Ling-Ni; Brière, Marie; Gresse, Carole; Werker, Bas J. M. (2014-02), Pension Regulation and Investment Performance: Rule-Based vs. Risk-Based. https://basepub.dauphine.fr/handle/123456789/12826

Type
Document de travail / Working paper
External document link
http://dx.doi.org/10.2139/ssrn.2414477
Date
2014-02
Series title
SSRN Working Paper Series
Series number
2400534
Pages
12
Metadata
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Author(s)
Boon, Ling-Ni
CentER, Netspar, and Tilburg University
Brière, Marie

Gresse, Carole
Dauphine Recherches en Management [DRM]
Werker, Bas J. M.
CentER, Netspar, and Tilburg University
Abstract (EN)
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.
Subjects / Keywords
funded pension; risk regulation; regulatory quality
JEL
G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
G28 - Government Policy and Regulation