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

12 Pages Posted: 26 Feb 2014  

Ling-Ni Boon

Tilburg University

Marie Briere

Amundi Asset Management; Paris Dauphine University; Université Libre de Bruxelles

Carole Gresse

Université Paris-Dauphine

Bas J. M. Werker

Tilburg University - Center for Economic Research (CentER)

Multiple version iconThere are 2 versions of this paper

Date Written: February 24, 2014

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

JEL Classification: G23, G28

Suggested Citation

Boon, Ling-Ni and Briere, Marie and Gresse, Carole and Werker, Bas J. M., Pension Regulation and Investment Performance: Rule-Based vs. Risk-Based (February 24, 2014). Available at SSRN: https://ssrn.com/abstract=2400534 or http://dx.doi.org/10.2139/ssrn.2400534

Ling-Ni Boon (Contact Author)

Tilburg University ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

Marie Briere

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

Paris Dauphine University ( email )

place du Maréchal de Lattre de Tassigny
Paris, 75016
France

Université Libre de Bruxelles ( email )

Brussels
Belgium

Carole Gresse

Université Paris-Dauphine ( email )

DRM
Pôle Universitaire Léonard de Vinci
Paris La Défense cedex, 92916
France
+33 (0)1 41 16 76 15 (Phone)
+33 (0)1 41 16 76 37 (Fax)

HOME PAGE: http://www.carolegresse.com

Bas J.M. Werker

Tilburg University - Center for Economic Research (CentER) ( email )

Econometrics and Finance Group
5000 LE Tilburg
Netherlands

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