Do they beat the market in the new regulatory environment – the case of Polish pension funds

References

• Andonov, A., Bauer, R., & Cremers, M. (2012). Can large pension funds beat the market? Asset allocation, market timing, security selection, and the limits of liquidity. Netspar Discussion Paper (10/2012-062).
   Google Scholar
• Antolin, P. (2008). OECD Working Papers on Insurance and Private Pensions, 20.
   Google Scholar
• Bhattacharjee, K., & Roy, B. (2012). Fund performance measurement without benchmark – A case of select indian mutual funds. International Journal of Information Technology and Business Management, 5(1),12–19.
   Google Scholar
• Blake, D. (2006). Pension Economics. Hoboken, NJ: John Wiley & Sons Ltd.
   Google Scholar
• Blake, D., & Board, J. (2000). Measuring value added in the pensions industry. Geneva Papers on Risk and Insurance - Issues and Practice, 25(4),539–567. doi:10.1111/1468-0440.00081
   Google Scholar
• Bohl, M. T., Lischewski, J., & Voronkova, S. (2011). Pension Funds' performance in strongly regulated industries in Central Europe: Evidence from Poland and Hungary. Emerging Markets Finance and Trade, 47(Suppl 3),80–94. doi:10.2753/REE1540-496X4704S305
   Web of Science ®Google Scholar
• Borges, M. R. (2010). Efficient market hypothesis in European stock markets. The European Journal of Finance, 16(7),711–726. doi:10.1080/1351847X.2010.495477
   Web of Science ®Google Scholar
• Cheung, Y.-W., & Lai, K. S. (1995). A search for long memory in international stock market returns. Journal of International Money and Finance, 14(4),597–615. doi:10.1016/0261-5606(95)93616-U
   Web of Science ®Google Scholar
• Chybalski, F. (2011a). The choice of Open Pension Fund made by Citizens of Poland in the Years 2003–2009: The Analysis of the criteria. The Pensions Institute Discussion Paper (PI-1102).
   Google Scholar
• Chybalski, F. (2011b). The Resilience of Pension Systems in the CEE Countries to Financial and Economic Crisis: the Need for Higher Diversification. 13th International Conference on Finance and Banking Proceedings, (pp. 258–67). Ostrava.
   Google Scholar
• Clare, A., Sherman, M. B., & Thomas, S. (2016). Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada. Research in International Business and Finance, 36, 212–221.doi:10.1016/j.ribaf.2015.09.011
   Web of Science ®Google Scholar
• Cremers, M., Ferreira, M. A., Matos, P., & Starks, L. (2016). Indexing and active fund management: International evidence. Journal of Financial Economics, 120(3),539–560. doi:10.1016/j.jfineco.2016.02.008
   Web of Science ®Google Scholar
• Departament Nadzoru Inwestycji Emerytalnych (2012). Kryterium oceny efektywności inwestycyjnej OFE, system motywacyjny PTE oraz minimalny wymóg kapitałowy dla PTE. Warszawa: Urząd Komisji Nadzoru Finansowego.
   Google Scholar
• Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2),383–417. doi:10.2307/2325486
   Web of Science ®Google Scholar
• Frasyniuk-Pietrzyk, M., & Pietrzyk, R. (2014). Efektywność inwestycji funduszy emerytalnych w Polsce – wybrane problemy. Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 371,88–100.
   Google Scholar
• Grauer, R. R. (2008). Benchmarking performance measures with perfect-foresight and bankrupt asset-allocation strategies. The Journal of Portfolio Management, 34(4),43–57. doi:10.3905/jpm.2008.709979
   Web of Science ®Google Scholar
• Grinblatt, M., & Titman, S. (1993). Performance measurement without benchmarks: An examination of mutual fund returns. The Journal of Business, 66(1),47–68. doi:10.1086/296593
   Web of Science ®Google Scholar
• Henriksson, R. D., & Merton, R. C. (1981). On the market timing and investment performance of managed portfolios II – Statistical procedures for evaluating forecasting skills. The Journal of Business, 54(4),513–533. doi:10.1086/296144
   Web of Science ®Google Scholar
• Ippolito, R. A., & Turner, J. A. (1987). Turnover, fees and pension plan performance. Financial Analysts Journal, 43(6),16–26. doi:10.2469/faj.v43.n6.16
   Google Scholar
• Kawiński, M., Stańko, D., & Rutecka, J. (2012). Protection mechanisms in the old-age pension systems of the CEE countries. Journal of Pension Economics & Finance, 11(4),581–605. doi:10.1017/S147474721200008X
   Web of Science ®Google Scholar
• Kominek Z., Regulatory induced herding? evidence from polish pension funds, Econ. Change. Restruct. 45(1-2),97–119 (2011)
   Google Scholar
• Kominek, Z. W. (2006). Regulatory induced herding? Evidence from Polish Pension Funds. European Bank for Reconstruction and Development Working Paper(96).
   Google Scholar
• Kabašinskas, A., Šutienė, K., Miloš, K., & Valakevičius, E. (2017). The risk–return profile of Lithuanian private pension funds. Economic Research-Ekonomska Istraživanja, 30(1),1611–1630. doi:10.1080/1331677X.2017.1383169
   Web of Science ®Google Scholar
• Kurach, R., Kuśmierczyk, P., & Papla, D. (2017). Can auctions help reduce mandatory pension fund fees? Journal of Pension Economics and Finance, First View, 1-30. doi: 10.1017/S1474747217000440.
   Google Scholar
• Lakonishok, J., Shleifer, A., Vishny, R. W., Hart, O., & Perry, G. L. (1992). The structure and performance of the money management industry. Brookings Papers on Economic Activity: Microeconomics, 1992,339–391. doi:10.2307/2534766
   Google Scholar
• Lieksnis, R. (2010). Evaluating the financial performance of Latvian and Estonian second-pillar pension funds. Research in Economics and Business: Central and Eastern Europe, 2(2),54–70.
   Google Scholar
• Marcinkiewicz, E. (2015). Zachowania stadne i konkurencja na rynku OFE. Badanie empiryczne z wykorzystaniem wielowymiarowej analizy statystycznej. Marketing i Rynek, 5,1067–1080.
   Google Scholar
• Matek, P., Lukač, M., & Repač, V. (2015). Performance appraisal of Croatian mandatory pension funds. Effectus - Working Paper Series(4).
   Google Scholar
• Mestan, M., Kubaška, P., & Králik, I. (2016). Evaluating Financial Performance of Pension Funds in Slovakia. International Scientific Conference FERNSTAT 2016, (pp. 105–15). Banská Bystrica.
   Google Scholar
• OECD. (2015). Pensions at a Glance 2015: OECD and G20 indicators. Paris: OECD Publishing.
   Google Scholar
• Opdyke, J. D. (2007). Comparing Sharpe ratios: So where are the p-values? Journal of Asset Management, 8(5),308–336. doi:10.1057/palgrave.jam.2250084
   Google Scholar
• Potocki, T., & Świst, T. (2012). Empirical test of the strong form efficiency of the Warsaw stock exchange: The analysis of WIG 20 index shares. South-Eastern Europe Journal of Economics, 10(2),155–172.
   Google Scholar
• Queisser, M. (1998). The second-generation pension reforms in Latin America. Ageing Working Papers(5.4).
   Google Scholar
• Rajevska, O. (2013). Funded pillars in the pension systems of Estonia, Latvia and Lithuania. Economics and Business, 23,83–89.
   Google Scholar
• Schwarz, A. M. (2011). New realities of pension policy in Central Europe. Proceedings of Pension Systems in Emerging Europe: Reform in the Age of Austerity. London: EBRD.
   Google Scholar
• Sławiński, A., & Tymoczko, D. (2013). Dla kogo wyspy tropikalne. Retrieved from http://archiwum.rp.pl/artykul/1176580-Dla-kogo-wyspy-tropikalne.html
   Google Scholar
• Stańko, D. (2003). Performance evaluation of public pension funds: The reformed pension system in Poland. Pension Institute Discussion Paper.
   Google Scholar
• Thomas, A., & Tonks, I. (2001). Equity performance of segregated pension funds in the UK. Journal of Asset Management, 1(4),321–343. doi:10.1057/palgrave.jam.2240025
   Google Scholar
• Treynor, J., & Mazuy, K. (1966). Can Mutual Funds Outguess the Market?. Harvard Business Review, 44,131–136.
   Web of Science ®Google Scholar
• World Bank (1994). Averting the old age crisis: Policies to protect the old and promote growth. Washington DC: World Bank.
   Google Scholar