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

2014 ◽  
Vol 31 (2) ◽  
pp. 141-155 ◽  
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.

The role of performance measurement models in multi level alignment

2014 ◽  
Vol 34 (9) ◽  
pp. 1153-1183 ◽  
Author(s):  
Rodney McAdam ◽  
Shirley-Ann Hazlett ◽  
Brendan Galbraith
Keyword(s):  
Performance Measurement ◽  
Conceptual Framework ◽  
Business Strategy ◽  
Theory Building ◽  
Content Type ◽  
Functional Strategy ◽  
Measurement Models ◽  
Level 1 ◽  
Level 2

Purpose – Market deregulation in the utilities sector has led to increased competition and rising customer expectations in both established and new markets. This, in turn, has forced organisations such as electricity and telecoms to make rapid, enterprise-wide changes on an increasingly frequent basis which in turn has led to problems with alignment. Misalignment can occur at many levels and can result in misused resources, loss of competitiveness, excessive cycle times, higher costs and loss of agility. The purpose of this paper is twofold. Given the lack of overarching theory, the paper begins by borrowing from contingency, dynamic capability and organisational learning constructs, to explore the role that performance measurement models can bring to improve the alignment between business strategy and functional strategy (level 1 alignment). Second, the paper analyses the role of performance measurement models in developing functional practices aligned with supply chain management (SCM) strategies (level 2 alignment). Design/methodology/approach – The study adopts an exploratory theory-building approach using four case studies. These are used as key supply chains in both established and new business areas within two longitudinal university-industry research partnerships (each of three years duration). Data from repeat interviews (n=42), focus groups (n=10), documentation and observations is analysed and forms the basis for the development of a conceptual framework and a set of related propositions. The data analysis followed Radnor and Boaden's (2004) method for analysing interpretive research. Findings – The findings show the role and impact of performance measurement models and methods on alignment at two levels, i.e. level 1 alignment – between business strategy and functional (SCM) strategy, and level 2 alignment – between the functional strategy (SCM) and SCM routines and practices. Originality/value – To date, there are few studies which explore the development of theory and practice in relation to the role and impact of performance measurement models and methods in improving organisational alignment. This exploratory theory building study makes a contribution to this gap through the development of the conceptual framework and propositions.

Forecasting Islamic equity indices alpha

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Nadia Anjum ◽  
Suresh Kumar Oad Rajput
Keyword(s):  
Stock Exchange ◽  
Abnormal Returns ◽  
Factor Loading ◽  
Factor Models ◽  
Least Square ◽  
Asia Pacific ◽  
Content Type ◽  
Ordinary Least Square ◽  
Rolling Window ◽  
Equity Indices

Purpose This paper aims to investigate whether Islamic and conventional equity indices offer some alpha. These indices are expected to offer no alpha being value-weighted, passive and unmanaged. Design/methodology/approach This paper used monthly data from 1996 to 2016 of four Dow Jones (DJ) and one financial times stock exchange (FTSE) Islamic equity indices and five conventional Morgan Stanley Capital International (MSCI) equity indices. This study used a simple ordinary least square (OLS) rolling window regressions to generate the alphas and risk loadings when adjusting for prominent pricing factor models. Findings The findings from OLS regressions suggest that DJ Islamic indices of Japan, Europe and World generate significant alphas, whereas, MSCI conventional indices of Asia/Pacific, USA and World generate significant alpha when risk-adjusted for pricing factor models. However, in 36-month rolling window regressions, all Islamic indices generate significant alpha and factor loading. The magnitude of alpha and factor loading changes over time. Research limitations/implications The finding shows that the Shari’ah-compliant investment fund’s alpha must be adjusted with the respective benchmark index alpha to measure the fund manager’s skill performance quantitatively. Originality/value To the best of the author’s knowledge, this is the first study that investigates and compares the Islamic, as well as conventional indices for abnormal returns, which are adjusted for both Fama–French five and q-theory-based four assets pricing risk factors and as a benchmark for Shari’ah-compliant fund’s performance.

Development and validation of knowledge management performance measurement constructs for small and medium enterprises

2015 ◽  
Vol 19 (4) ◽  
pp. 711-734 ◽  
Author(s):  
Cheng Sheng Lee ◽  
Kuan Yew Wong
Keyword(s):  
Knowledge Management ◽  
Performance Measurement ◽  
Service Sector ◽  
Small And Medium Enterprises ◽  
Reliability And Validity ◽  
Survey Instrument ◽  
Management Performance ◽  
Content Type ◽  
Measurement Models ◽  
Medium Enterprises

Purpose – This paper aims to address the lack of previous studies and to propose a reliable and valid knowledge management performance measurement (KMPM) model for small and medium enterprises (SMEs). Design/methodology/approach – A survey instrument containing 13 constructs and 49 items was initially developed and posted to small and medium-sized consultancy firms in Malaysia. Reliability and validity analysis was performed to ensure the quality of the instrument. Findings – The developed survey instrument was shown to be reliable, valid and suitable to be applied in SMEs to evaluate their knowledge management (KM) performance. Research limitations/implications – The present study is limited to SMEs in the service sector. The results are not suitable to be generalized to the manufacturing sector or larger organizations without further research. Practical implications – This study would provide SMEs with a better understanding on KMPM and also a guideline to refer to when measuring their KM performance. Academics can use this study as a basic model to explore KMPM in SMEs and develop new measurement models. Originality/value – This study is believed to be the first that has scientifically developed and empirically tested the constructs that represent a comprehensive KMPM model tailored for SMEs.

Pension Fund Performance Measurement—the Way Ahead?.

1987 ◽  
Vol 30 ◽  
pp. 163-179
Author(s):  
T. J. A. Gardener
Keyword(s):  
Performance Measurement ◽  
Theoretical Basis ◽  
Pension Fund ◽  
Fund Performance ◽  
Pension Funds ◽  
Rate Of Return ◽  
Comprehensive Description ◽  
Investment Performance ◽  
The Way

In the last ten years Staple Inn has played host to two major discussions on performance measurement. In November 1976, Holbrook's definitive paper to the Institute set out in some detail the theoretical basis of performance measurement while in January 1980 Hager's paper to the Student's Society gave a detailed view of performance measurement in practice. Between them the two papers provide a fairly comprehensive description of what was, even in 1980, a relatively novel science for many U.K. pension funds. At the time of writing the majority of large- and medium-sized directly invested pension funds have their investment performance measured. Yet even after fifteen years of performance measurement in the U.K. some of the fundamentals of performance measurement are questioned and even disputed by a sizeable proportion of actuaries—for example in his March 1985 paper to the Faculty of Actuaries Marshall states, “This must call in question the validity of its (the Time Weighted Rate of Return) use for comparative purposes”.

Advances in intellectual capital performance measurement: a state-of-the-art review

2019 ◽  
Vol 32 (2) ◽  
pp. 118-134 ◽  
Author(s):  
Cheng Sheng Lee ◽  
Kuan Yew Wong
Keyword(s):  
Performance Measurement ◽  
Intellectual Capital ◽  
Real Life ◽  
Future Research ◽  
Current Application ◽  
Content Type ◽  
Measurement Models ◽  
Life Problems ◽  
Managerial Implications ◽  
Intelligent Methods

Purpose The purpose of this paper is to present a review on the latest developments, approaches and methods in intellectual capital (IC) performance measurement. Design/methodology/approach A total of 53 research papers from high-ranking journals concerning the advances in IC performance measurement were thoroughly reviewed and classified to identify the advanced approaches and methods that have been used to evaluate IC performance. Findings It is clear that the current application of advanced or intelligent methods in IC performance measurement is still at the primary stage. The reviewed approaches mainly focus on two core applications. First is to assist the data collection or data handling process and second is to enhance the result computation process to obtain a more reliable and realistic value that represents the performance of IC. Research limitations/implications This study offers a foundation and guideline for the researchers who wish to integrate advanced methods into IC performance measurement based on the reviewed advanced approaches in terms of their respective functions, strengths and limitations. It stimulates the creation of new IC performance measurement models that use advanced approaches to cope with real-life problems and dynamic conditions. Originality/value This paper contributes to the literature on IC performance measurement, in light of advances in technology. In general, five advanced approaches were identified, analyzed and discussed. Future research directions were presented to provide new insights for researchers to apply advanced methods in IC performance measurement, together with theoretical and managerial implications.

scholarly journals Reconceptualizing the notion of relations underlying performance measurement models

2016 ◽  
Vol 28 (4) ◽  
pp. 411-418 ◽  
Author(s):  
Syrus Islam
Keyword(s):  
Performance Measurement ◽  
Design Methodology ◽  
Limited Attention ◽  
Content Type ◽  
Research Opportunities ◽  
Cause And Effect ◽  
Measurement Models ◽  
Different Types ◽  
Conceptual Paper ◽  
Novel Concept

Purpose The purpose of this paper is to reconceptualize the notion of relations underlying performance measurement models (PMMs) and explicate the ample exciting research opportunities that this reconceptualized viewpoint offers. Design/methodology/approach This is a conceptual paper, which primarily builds on and extends the contemporary research that challenges the traditional viewpoint that cause-and-effect relations are a necessary element of every PMM. Findings The reconceptualized viewpoint suggests that a PMM can be built on any combination of cause-and-effect, finality and logical relations, as opposed to only cause-and-effect relations. This paper presents several exciting research opportunities that the reconceptualized perspective offers. Originality/value The different types of relations underlying PMMs and their appropriate validation techniques are a relatively novel concept and also, a complex phenomenon which has received very limited attention in the accounting literature. This paper extends this nascent literature by outlining the research implications of this novel concept.

Shariah-compliant investments and stock returns: evidence from the Indonesian stock market

2017 ◽  
Vol 8 (2) ◽  
pp. 143-160 ◽  
Author(s):  
Devi Lusyana ◽  
Mohamed Sherif
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Positive Impact ◽  
Abnormal Returns ◽  
Stock Index ◽  
Superior Performance ◽  
Investment Performance ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

Purpose The purpose of this paper is to investigate the impact of the Indonesia Shariah-compliant Stock Index (ISSI) on the performance of included shares. In essence, the authors ask whether the establishment of the ISSI provides abnormal returns for the firms that are not included in the Jakarta Index. Design/methodology/approach The authors use an event study methodology to estimate cumulative abnormal returns in the days surrounding the event to examine the relationship between Shariah-compliant investments and stock returns. The estimation window of 90 trading days prior to the event (−30) to day 60 after (+60) is adopted. They also use a range of investment performance measures to provide new evidence on whether faith-based ethical investments generate superior performance compared to their unscreened benchmarks. Findings Using daily returns, the Indonesia ISSI and panel data model, the findings show that the inclusion of the ISSI has a positive impact on the financial performance of the included shares during the 41-day event window. The evidence also suggests that the ethical investment has a significant influence on the performance of stock market returns. Research limitations/implications This study offers insights to policymakers, investors and fund managers interested in the indices’ performance. A key conclusion that could be derived by bodies that regulate Islamic products and services is that investors are not only concerned about what is profitable but also what makes their investments ethical. Originality/value Although the global growth of the Islamic capital market products and services has been tremendous in recent years, very few studies focus on the Indonesian market and indeed, none of them devote sufficient attention to Shariah-compliant investments and stock returns.

scholarly journals The role of performance measurement in developing industrial services

2016 ◽  
Vol 22 (3) ◽  
pp. 264-276 ◽  
Author(s):  
Sanna Pekkola ◽  
Minna Saunila ◽  
Juhani Ukko ◽  
Tero Rantala
Keyword(s):  
Performance Measurement ◽  
Customer Service ◽  
Mining Industry ◽  
Content Type ◽  
Industrial Services ◽  
Practical Applications ◽  
Measurement Models ◽  
System Supplier ◽  
Industrial Maintenance

Purpose – The purpose of this paper is to examine inter-organisational cooperation in delivering maintenance services, focusing on the level of maturity of this cooperation and the current role of performance measurement in evaluating its effectiveness. It also determines how performance measurement should be developed to support the needs of networked maintenance. Design/methodology/approach – The empirical evidence is based on two cases of networks operating in the field of industrial maintenance. The first network operates in the energy industry, while the second operates in the mining industry. Both networks consist of machine supplier companies, performance partner companies and system supplier companies. A total of seven companies participated in workshops and interviews in 2013-2014. Findings – As a result of the study, suggestions for improving the performance measurement of service value in maintenance are presented and a framework is offered that meets the needs of the customer, service provider and equipment provider. The significant innovation of the research is its combination of network, service and value perspectives in performance measurement by presenting a framework for measuring created value of cooperation. Originality/value – The literature calls for new measurement models and frameworks that support the new management challenges. This research creates a framework for practical applications. The framework helps to identify possible development needs and increases the understanding of what is required when cooperation in a maintenance network deepens, moving from machine partner towards value partner.

Financial institutions mergers: a strategy choice of wealth maximisation and economic value

2020 ◽  
Vol 12 (4) ◽  
pp. 495-529
Author(s):  
Mohamad Hassan ◽  
Evangelos Giouvris
Keyword(s):  
Credit Risk ◽  
Event Study ◽  
Financial Institutions ◽  
Value Creation ◽  
Economic Value ◽  
Abnormal Returns ◽  
Study Analysis ◽  
Event Window ◽  
Content Type ◽  
Merger Announcement

Purpose This study Investigates Shareholders' value adjustment in response to financial institutions (FIs) merger announcements in the immediate event window and in the extended event window. This study also investigates accounting measures performance, comparison of post-merger to pre-merger, including several cash flow measures and not just profitability measures, as the empirical literature review suggests. Finally, the authors examine FIs mergers orientations of diversification and focus create more value for shareholders (in the immediate announcement window and several months afterward) and/or generates better cash flows, profitability and less credit risk. Design/methodology/approach This study examines FIs merger effect on bidders’ shareholder’s value and on their observed performance. This examination deploys three techniques simultaneously: a) an event study analysis, to estimate and calculate abnormal returns (ARs) and cumulative abnormal returns (CARs) in the narrow windows of the merger announcement, b) buy and hold event study analysis, to estimate ARs in the wider window of the event, +50 to +230 days after the merger announcement and c) an observed performance analysis, of financial and capital efficiency measures before and after the merger announcement; return on equity, liquidity, cost to income ratio, capital to total assets ratio, net loans to total loans, credit risk, loans to deposits ratio, other expenses and total assets, economic value addition, weighted average cost of capital and return on invested capital. Deal criteria of value, mega-deals, strategic orientation (as in Ansoff (1980) growth strategies), acquiring bank size and payment method are set as individually as control variables. Findings Results show that FIs mergers destroy share value for the bidding firms pursuing a market penetration strategy. Market development and product development strategies enable shareholders’ value creation in short and long horizons. Diversification strategies do not influence bidding shareholders’ value. Local bank to bank mergers create shareholders’ value and enhance liquidity and economic value in the short run. Bank to bank cross border mergers create value for bidders’ in the long term but are associated with high costs and higher risks. Originality/value A significant advancement over the current literature is in assessing mergers, not only for bank bidders but also for the three pillars FIs of the financial sector; banks, real-estate companies and investment companies mergers. It is an improvement over current finance literature because it deploys two different strategies in the analysis. At a univariate level, shareholder value creation and market reaction to merger announcements are examined over short (−5 or +5 days) and long (+230 days) windows of the event. Followed by regressing, the resultant CARs and BHARs over financial performance variables at the multivariate level.

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