TY - JOUR
T1 - Profitability of Chile's defined-contribution-based pension system during the multifund era
AU - Fernandez, Viviana
N1 - Funding Information:
Viviana Fernandez ([email protected]) is a professor of economics and finance at the School of Business, Universidad Adolfo Ibáñez, Santiago, Chile. This research was partially funded by Fondecyt Grant no. 1090005.
PY - 2013/9/1
Y1 - 2013/9/1
N2 - This paper analyzes the profitability of Chile's retirement multifund system - funds A, B, C, D, and E - since its launch in 2002. The analysis shows that the rates of return on the funds are highly correlated across pension fund administrators (PFAs) and that risk-adjusted returns on these funds may not exceed those on domestic fixed- or variable-income indices. The paper also explores the existence of herding. Specifically, Granger causality tests show that leaders may significantly influence the benchmark in fund C, whereas PFAs' asset allocations in funds A and E are more likely to reflect past changes in the benchmark.
AB - This paper analyzes the profitability of Chile's retirement multifund system - funds A, B, C, D, and E - since its launch in 2002. The analysis shows that the rates of return on the funds are highly correlated across pension fund administrators (PFAs) and that risk-adjusted returns on these funds may not exceed those on domestic fixed- or variable-income indices. The paper also explores the existence of herding. Specifically, Granger causality tests show that leaders may significantly influence the benchmark in fund C, whereas PFAs' asset allocations in funds A and E are more likely to reflect past changes in the benchmark.
KW - Herding
KW - Pension funds
KW - Portfolio allocation
UR - http://www.scopus.com/inward/record.url?scp=84892571794&partnerID=8YFLogxK
U2 - 10.2753/REE1540-496X490501
DO - 10.2753/REE1540-496X490501
M3 - Article
AN - SCOPUS:84892571794
SN - 1540-496X
VL - 49
SP - 4
EP - 25
JO - Emerging Markets Finance and Trade
JF - Emerging Markets Finance and Trade
IS - 5
ER -