Pension Funds and Mutual Funds Performance Measurement with a New DEA (MV-DEA) Model Allowing for Missing Variables

This article aims at analyzing how controlling shareholders’ representatives on boards affect corporate social responsibility (CSR) strategies (disclosing CSR matters) in Spain, a context characterized by high ownership concentration, one-tier boards, little board independence, weak legal protection for investors, and the presence of large shareholders, especially institutional shareholders. Furthermore, among controlling shareholders’ representatives, we can distinguish between those appointed by insurance companies and banks and those appointed by mutual funds, investment funds, and pension funds. The effect of these categories of directors on CSR strategies is, therefore, also analyzed. Our findings suggest that controlling shareholders’ representatives have a positive effect on CSR strategies, as do directors appointed by investment funds, pension funds, and mutual funds, while directors appointed by banks and insurance companies have no impact on CSR strategies. This analysis offers new insights into the role played by certain types of directors on CSR strategies.

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Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts

Annual Review of Financial Economics ◽

10.1146/annurev-financial-102710-144856 ◽

2011 ◽

Vol 3 (1) ◽

pp. 537-574 ◽

Cited By ~ 31

Author(s):

Russ Wermers

Keyword(s):

Performance Measurement ◽

Mutual Funds ◽

Hedge Funds

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An empirical analysis of the performance of pension funds: evidence from UK

Studies in Economics and Finance ◽

10.1108/sef-10-2012-0118 ◽

2014 ◽

Vol 31 (2) ◽

pp. 141-155 ◽

Cited By ~ 3

Author(s):

Roberta Adami ◽

Orla Gough ◽

Suranjita Mukherjee ◽

Sheeja Sivaprasad

Keyword(s):

Performance Measurement ◽

Abnormal Returns ◽

Pension Funds ◽

Factor Models ◽

Default Probability ◽

Investment Performance ◽

Content Type ◽

Measurement Models ◽

Bond Returns ◽

French Model

Purpose – This paper aims to examine the investment performance of pension funds in the UK using the three standard performance measurement models, the capital asset pricing model (CAPM), Fama-French model and the Carhart model. Design/methodology/approach – The authors use the CAPS-Mellon survey data for the period 1990-2008 and employ the three standard performance measurement models, the CAPM, Fama-French model and the Carhart model in assessing the investment performance of the pension funds. Findings – The authors show that the abnormal returns of pension funds cannot be fully explained by size, book-to-market values, market returns, momentum and the term spread. The authors find larger abnormal returns in bond than in equity portfolios and that smaller funds outperform larger funds. The paper also shows that the addition of the momentum factor does not improve on the three-factor Fama-French model. The authors find that pension funds exhibit superior performance relative to the linear factor models. Research limitations/implications – First, this study contributes to the extant literature on pension funds performance. Future research may also extend the authors' work to incorporate economic, tax, political and legal differences across the countries on the performance of pension funds. Second, due to data constraints, this study excludes the default probability of corporate bonds as an additional variable in their tests on bond returns. Future work may add the default probability as an additional variable whilst examining bond returns. Practical implications – The authors believe that the findings will be considerable food for thought for fund managers who continuously attempt to explore opportunities to provide a higher return to investors. Originality/value – To the authors' knowledge, this is the first comprehensive study that investigates the performance of UK equity and bond pension funds relative to standard linear factor models such as the CAPM, Fama and French, and Carhart.

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