Performance persistence in the spanish defined contribution pension plans
Fecha
2017Autor
Director
Versión
Acceso abierto / Sarbide irekia
Tipo
Trabajo Fin de Grado/Gradu Amaierako Lana
Impacto
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nodoi-noplumx
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Resumen
The aim of this paper is to analyse if performance persistence exists in Spanish individual
and occupational pension plans from 2008 to 2014. The examination was done from a mid
and long-term point of view. A sample of mixed fixed and variable income pension plans
was studied. Data was taken from General Directorate of Insurance and Pension Funds,
INVERCO and Bank of Spain webpages. Chi-squar ...
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The aim of this paper is to analyse if performance persistence exists in Spanish individual
and occupational pension plans from 2008 to 2014. The examination was done from a mid
and long-term point of view. A sample of mixed fixed and variable income pension plans
was studied. Data was taken from General Directorate of Insurance and Pension Funds,
INVERCO and Bank of Spain webpages. Chi-squared and Cross-Product-Ratio (CPR)
were used to test the performance persistence and it was carried out using raw and riskadjusted
returns, with the aim of getting higher robustness in the results. The results show
evidences that allow us to conclude the existence of persistence in occupational pension
plans, but it is less likely to occur in individual ones. The main reason which explains the
different results is the influence of the control commission. In the first scenario,
commission control does defend participants and beneficiaries’ interests, so the
management firm has to manage pension plans in order to achieve the best returns in each
of the period. The higher fees applied to individual pension plans could also explain the
worse performance [--]
Materias
Pension plans,
Persistence,
Performance,
MFI,
MVI
Titulación
Graduado o Graduada en Administración y Dirección de Empresas por la Universidad Pública de Navarra /
Enpresen Administrazio eta Zuzendaritzan Graduatua Nafarroako Unibertsitate Publikoan