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

By Ling-Ni Boon, Marie Brière, Carole Gresse and Bas J. M. Werker

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

Topics: funded pension, risk regulation, regulatory quality, [SHS.GESTION]Humanities and Social Sciences/Business administration
Publisher: HAL CCSD
Year: 2017
OAI identifier: oai:HAL:hal-01492565v1
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