Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/69513
Authors: 
Martí Ballester, Carmen Pilar
Year of Publication: 
2013
Series/Report no.: 
Economics Discussion Papers 2013-15
Abstract: 
The aim of this study is to analyze investor response to different measures of pension plan performance. To do this, we implement a fixed effects panel data methodology corrected by heteroskedasticity, serial correlation and cross-sectional dependence, as proposed by Vogelsang (Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects, 2011). The results obtained show that investors make their decision to invest in a specific pension plan depending on past returns and the type of management company administering the plan. However, participants do not react to risk measures, which may be because they consider all plans making up the equity category to entail the same risk.
Subjects: 
return
Jensen's Alpha
pension plan flows
panel data models
JEL: 
C23
G23
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Working Paper

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