Comprehensive analysis of regulatory impacts on performance of Slovak pension funds
Abstract
Standard pay-as-you-go pension system is facing long-term and short-term sustainability challenges in several countries. Possible replacement of standard pension system might be in a form of private pension savings. Private pension savings are meaningful only if they provide sufficiently high returns. The aim of this manuscript is to analyse performance of Slovak pension funds and factors impacting this performance, especially government interventions. This manuscript is focused on enhanced Carhart four-factor model, Bollen and Busse four-factor model, and Fama and French five-factor model based on 23 pension funds from Slovakia from period starting September 2012 and ending September 2019. These models have been extended by other variables describing bond market factors and impact of regulatory interventions on performance of pension funds. Results of analysis have proved that legislative interventions have impact on performance of analysed pension funds. Each legislative intervention has caused average daily yield to decrease by about 0.01% to 0.03%. Findings described in this manuscript can contribute to better knowledge of pension funds for both contributors who need to decide whether to participate in the second pillar or not, as well as for regulators who develop legislation measurements in this area.
Keyword : pension funds, investment performance, Carhart four-factor model, Bollen and Busse four-factor model, Fama and French five-factor model, regulatory intervention, bond market factors, equity market factors, Central and Eastern Europe
How to Cite
Papík, M., & Papíková, L. (2021). Comprehensive analysis of regulatory impacts on performance of Slovak pension funds. Journal of Business Economics and Management, 22(3), 735-756. https://doi.org/10.3846/jbem.2021.14481
This work is licensed under a Creative Commons Attribution 4.0 International License.
References
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Fama, F. E., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. https://doi.org/10.1016/0304-405X(93)90023-5
Fama, F. E., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22. https://doi.org/10.1016/j.jfineco.2014.10.010
Fama, F. E., & French, K. R. (2017). International tests of a five-factor asset pricing model. Journal of Financial Economics, 123(3), 441–463. https://doi.org/10.1016/j.jfineco.2016.11.004
Galinienė, B., & Butvilas, A. (2010). Analysis of the capital cost impact on share value. Technological and Economic Development of Economy, 16(1), 126–142. https://doi.org/10.3846/tede.2010.08
Grinblatt, M., & Titman, S. (1994). A study of monthly mutual fund returns and performance evaluation techniques. Journal of Financial and Quantitative Analysis, 29(3), 419–444. https://doi.org/10.2307/2331338
Guardiancich, I. (2013). Pension reforms in Central, Eastern, and Southeastern Europe: From post-Socialist transition to the global financial crisis (1st ed.). Routledge/EUI studies in the political economy of the welfare state. Routledge. https://www.routledge.com/Pension-Reforms-in-Central-Eastern-andSoutheastern-Europe-From-Post-Socialist/Guardiancich/p/book/9781138822214
Jan, M. N., & Ayub, U. (2019). Do the FAMA and FRENCH Five-Factor model forecast well using ANN? Journal of Business Economics and Management, 20(1), 168–191. https://doi.org/10.3846/jbem.2019.8250
Janać, J., Rentková, K., & Stanko, P. (2016, April). The implementation of the second pillar pension in Serbia. In 15th International Scientific Conference for PhD students and young researchers: Management in Theory and Practice (pp. 255–262). Slovakia, Bratislava.
Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48(1), 65–91. https://doi.org/10.1111/j.1540-6261.1993.tb04702.x
Jensen, M. C. (1968). The performance of mutual funds in the period 1945–1964. Journal of Finance, 23(2), 389–416. https://doi.org/10.2139/ssrn.244153
Josifidis, K., Hall, J. B., Supic, N., & Pucar, E. B. (2015). The European welfare state regimes: Questioning the typology during the crisis. Technological and Economic Development of Economy, 21(4), 277–595. https://doi.org/10.3846/20294913.2015.1055612
Kabašinskas, A., Šutiené, K., Miloš, K., & Valakevičius, E. (2017). The risk–return profile of Lithuanian private pension funds. Economic Research-Ekonomska Istraživanja, 30(1), 1611–1630. https://doi.org/10.1080/1331677X.2017.1383169
Kaya, E. (2020). Relative performances of asset pricing models for BIST 100 index. Spanish Journal of Finance and Accounting/Revista Espanola de Filanciacion y Contabilida. https://doi.org/10.1080/02102412.2020.1801169
Kiymaz, H., & Simsek, K. D. (2017). The performance of US-based emerging market mutual funds. Journal of Capital Markets Studies, 1(1), 58–73. https://doi.org/10.1108/JCMS-10-2017-003
Khorana, A., Servaes, H., & Tufano, P. (2007). Mutual fund fees around the world (HBS Finance Working Paper, 901023). https://doi.org/10.1093/rfs/hhn042
Kurach, R. (2019). Do they beat the market in the new regulatory environment – the case of Polish pension funds. Economic Research-Ekonomska Istraživanja, 32(1), 370–383. https://doi.org/10.1080/1331677X.2018.1561319
Kurach, R., Kuśmierczyk, P., & Papla, D. (2020). Risk reduction in two-pillar mandatory pension system under regulatory constraints: Simulation-based evidence from Poland. Applied Economics Letters, 28(3), 191–195. https://doi.org/10.1080/13504851.2020.1740154
Leite, P., & Cortez, M. C. (2014). Style and performance of international socially responsible funds in Europe. Research in International Business and Finance, 30, 248–267. https://doi.org/10.1016/j.ribaf.2013.09.007
Madrid, R. L. (2003). Retiring the State: The politics of pension privatization in Latin America and beyond. Stanford University Press. https://doi.org/10.1017/S1537592704700377
Marti-Ballester, C. P. (2019). The role of mutual funds in the sustainable energy sector. Business Strategy and the Environment, 28(6), 1107–1120. https://doi.org/10.1002/bse.2305
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