Record Details

Evaluating the Financial Performance of Latvian and Estonian Second-Pillar Pension Funds

Research in Economics and Business: Central and Eastern Europe

View Archive Info
 
 
Field Value
 
Title Evaluating the Financial Performance of Latvian and Estonian Second-Pillar Pension Funds
 
Creator Lieksnis, Raimonds; Riga Technical University
 
Description This study investigates whether Latvian and Estonian second-pillar pension fund managers can outperform European equity and fixed income market indexes on a consistent basis. The quarterly returns of 17 pension funds, for the time period from 2003 till 2009, have been studied. Findings confirm the conclusion of similar studies worldwide that it is very difficult to achieve outperformance. None of the pension funds investigated in this study managed to achieve a statistically significant positive Alpha using Jensen’s model with both stock market and composite index benchmarks as independent variables. A modified Treynor-Mazuy model is used to separately evaluate the stock selection and market timing abilities of fund managers. The study helps to resolve a controversy about the market timing skills of secondpillar pension fund managers in Central and Eastern Europe, by confirming earlier US results that indicated a lack in this ability. Fund managers compensate for this deficiency by exhibiting positive, but not statistically significant, stock selection skills.
 
Publisher Research in Economics and Business: Central and Eastern Europe
 
Contributor —
 
Date 2013-07-24
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
—
 
Format application/pdf
 
Identifier http://rebcee.eu/index.php/REB/article/view/29
 
Source Research in Economics and Business: Central and Eastern Europe; Vol 2, No 2 (2010)
1736-9126
1736-9126
 
Language eng
 
Relation http://rebcee.eu/index.php/REB/article/view/29/28
http://rebcee.eu/index.php/REB/article/downloadSuppFile/29/30