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

Author

Listed:
  • 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)

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.

Suggested Citation

  • Ling-Ni Boon & Marie Brière & Carole Gresse & Bas J. M. Werker, 2017. "Pension Regulation and Investment Performance: Rule-Based vs. Risk-Based," Working Papers hal-01492565, HAL.
    • Handle: RePEc:hal:wpaper:hal-01492565
    as

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