Do they beat the market in the new regulatory environment – the case of Polish pension funds

Ekonomska Istraživanja

Radosław Kurach¹ 

[1] Wrocław University of Economics;

关键词: pension funds’ performance;    pension funds’ herding;    passive management;   

DOI  :  10.1080/1331677X.2018.1561319

来源: DOAJ

【 摘 要 】

In this study, we attempt to verify if the funds constituting the (quasi)mandatory capital pillar of the Polish pension system outperformed the market in the 2014–2016 period. This research objective was raised a few times in the past, but nowadays it gains a new context. In our research the sample starts at the moment when a set of regulations was implemented to facilitate competition among funds, which should further translate into improved portfolio results. Analysing the monthly data, we employ the Performance Change Measurement approach of Grinblatt and Titman () to address the question of the investment outcomes. Despite the fact that the relatively short period is verified, we do not find any convincing proof of the superior portfolio performance under the new regulatory framework. Consequently, we argue that further changes should be oriented toward fund fee reduction rather than motivating managers to greater analytical effort.

【 授权许可】

Unknown