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Abstract
Introduction
Data
Methodology and Results
Robustness of Results
Conclusions
References
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Medicine and Health Sciences
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Determinants of pension plan fees in Spain

Profile image of Angeles Fernandez-izquierdoAngeles Fernandez-izquierdo

2009, Applied Economics

https://doi.org/10.1080/00036840701222462
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86 pages

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Abstract

Pension plans and funds represent a substantial part of the welfare systems both in Europe and in Spain. One of the most important elements in the choice of a plan or fund is the performance obtained.

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  43. Freeman, J.P. and Brown, S.L. (2001) Mutual Fund Advisory Fees: The Cost of Conflicts of Interest, Journal of Corporation Law 26, 610-673.
  44. Gil-Bazo, J. and Martínez, M.A. (2004) The Black Box of Mutual Fund Fees, Revista de Economía Financiera, 4, 54-82.
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  46. Greene, W.H. (2002) Econometric Analysis, Prentice Hall, Englewood Cliffs, Fourth Edition, 2000.
  47. Gregory, A. and Tonks, I. (2002) Performance of Personal Pensions in the UK, Working Paper, London School of Economics, London, UK.
  48. Grinblatt, M. and Titman, S. (1993) Performance measurement without benchmarks: an examination of mutual fund returns, Journal of Business, 66, 47-68.
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  67. Myers, D.H. (2004) The reaction of asset flows to performance in pension account returns. Northern Finance Association, St. John's. Newfoundland, Canada, September.
  68. Newey, W.K., (1987) Specification tests for distributional assumptions in the tobit model. Journal of Econometrics, 34, 125-145.
  69. Petersen, D. and Waldman, D. (1981) The treatment of heteroscedasticity in the limited dependent variable model, Mimeo, University of North Carolina, Chapel Hill.
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  78. Bateman, H. and O. Mitchell, (2004). New Evidence on Pension Plan Design and Administrative Expenses: The Australian Experience. Journal of Pension Economics and Finance, 3, 63-76.
  79. Benediktsson, H.C.; Gerbertsson, T.T. and Orszag, J.M. (2001) The charge ratio on individual accounts and investment plans in Iceland, Applied Economics, 33, 979-987.
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  81. Blake, D. (2004) The impact of wealth on consumption and retirement behaviour in the UK, Applied Financial Economics, 14, 555-576.
  82. Blake, D.; Lehmann, B.N. and Timmermann, A. (2001) Performance clustering and incentives in the UK pension fund industry, Journal of Asset Management, 2, 173-194.
  83. Caporale, G.M; Philippas, N. and Pittis, N. (2004), Feedbacks between mutual fund flows and security returns: evidence from the Greek capital market. Applied Financial Economics, 14, 981-989.
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  85. Chen, C.L. (2006) The portable guarantee to exchange back an old defined benefit for a new defined contribution (DC) pension plan, Applied Economics, 38, 699-706.
  86. Chlon, A. (2002) Administrative costs of pension funds in Poland in international perspective, Regional Meeting for the Eastern and Central European Countries, Room Document No. 24, Tallinn, Estonia, 7-8 February.
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  88. Christoffersen, S.E.K. (2001) Why do money fund managers voluntarily waive their fees? The Journal of Finance, 56, 3, 117-1140.
  89. Collins, S. (2003) The Expenses of Defined Benefit Pension Plans and Mutual Funds, Perspective 9, 1-19.
  90. Davis, E.P., 2002. The European Pension Management Industry. Working Paper PI-0212, The Pensions Institute, University of London, London.
  91. Del Guercio, D and Tkac, P.A. (2002): "The determinants of the flow of funds of manager portfolios: mutual funds versus pension funds", Journal of Financial and Quantitative Analysis, 37, 523-558.
  92. Dellva, W.L. and Olson, G.T. (1998) The relationship between mutual fund fees and expenses and their effects on performance, The Financial Review, 33, 85-104.
  93. Devesa Carpio, J.E.; Rodríguez Barrera, R. and Vidal Meliá, C. (2002) Los costes de administración para el afiliado en los sistemas de pensiones basados en cuentas de capitalización individual: medida y comparación internacional, Documento de Trabajo, Fundación de las Cajas de Ahorros Confederadas para la Investigación Económica y Social, Madrid.
  94. Ferris, S. and Chance, D. (1987) The effects of 12b-1 plans on mutual fund expense ratios: a note, The Journal of Finance, 42, 1077-1082.
  95. Freeman, J.P. and Brown, S.L. (2001) Mutual Fund Advisory Fees: The Cost of Conflicts of Interest, Journal of Corporation Law 26, 610-673.
  96. Gil-Bazo, J. and Martínez, M.A. (2004) The Black Box of Mutual Fund Fees, Revista de Economía Financiera, 4, 54-82.
  97. Gosnell, T.F. and Harper, J.T. (2006) Pension Fees and Performance: An Empirical Analysis of Public Defined Benefit Plans. Working Paper, FMA Annual Meeting, Salt Lake City, Utah.
  98. Greene, W.H. (2002) Econometric Analysis, Prentice Hall, Englewood Cliffs, Fourth Edition, 2000.
  99. Gregory, A. and Tonks, I. (2002) Performance of Personal Pensions in the UK, Working Paper, London School of Economics, London, UK.
  100. Grinblatt, M. and Titman, S. (1993) Performance measurement without benchmarks: an examination of mutual fund returns, Journal of Business, 66, 47-68.
  101. Grinblatt, M. and Titman, S. (1996) The Impact of Performance-Based Fees on Pension Fund Management, Finance, University of California, Los Angeles, Paper 23-86.
  102. Harper, J.T. (2004) Variation in Fees Paid for Investment Management by Defined Benefit Pension Plans, Working Paper, Annual Meeting of Southern Finance Association, Florida, US.
  103. Ippolito, R.A. and Turner, J.A. (1987) Turnover, Fees and Pension Plan Performance, Financial Analysts Journal 43, 16-26.
  104. James, E., Smalhout, J. and Vittas, D. (2001) Administrative costs and the organization of individual account systems: a comparative perspective. In R. Holzmann and J. Stiglitz (eds), New Ideas About Old Age Security, Washington DC: World Bank; revised version published in Private Pensions Systems: Adminstrative Costs and Reforms, Paris: OECD, 2001.
  105. Jensen, M. (1968) The performance of mutual funds in the period 1945-1964. The Journal of Finance, 42, 389-416.
  106. Jensen, M. (1969) Risk, the pricing of capital assets and the evaluation of investment portfolios. Journal of Business, 42, 167-247.
  107. Klumpes, P.J.M. and McCrae, M. (1999) Evaluating the financial performance of pension funds: an individual investor's perspective, Journal of Business Finance and Accounting, 26, 3-4, 261-280.
  108. Lesseig, V., Long, M. and T. Smythe, (2002). Gains to Mutual Fund Sponsors offering Multiple Share Class Funds. Journal of Financial Research, 25, 1, 81-98.
  109. Levy, N. and Mántey, G. (2003) Private pension funds in oligopolistic financial markets: some qualifications to conventional theory of financial development, International Review of Applied Economics, 17, 2, 167-180.
  110. Loucks, C. (1994) The regional distribution of bank closings in the United States from 1982 to 1988: A brief note, Southern Economic Journal 61, 191-194.
  111. Maddala, G. and Nelson, F. (1975) Specification errors in limited dependent variable models, Working Paper 96, National Bureau of Economic Research, Cambridge, US.
  112. Malhotra, D.K. and McLeod, R.W. (1997), An empirical analysis of mutual fund expenses, Journal of Financial Research, 20, 175-190.
  113. Martí, C.P.; Matallín, J.C. and Fernández, M.A. (2006) Determinants of the fees paid by equity pension plans in Spain, Pensions: An International Journal, 11, 3, 200-214
  114. Matallín, J.C. (2006) Lo que la verdad esconde: ¿Importa el tamaño en la gestión de los fondos de inversión? XIV Foro de Finanzas, Castellón, 16-17 noviembre.
  115. Matallín, J.C. and Nieto, L. (2002) Mutual funds as an alternative to direct stock investment: a cointegration approach, Applied Financial Economics, 12, 743-750.
  116. McLeod, R. and Malhotra, D. (1994) A re-examination of the effect of 12b-1 plans on mutual fund expense ratios, Journal of Financial Research, 17, 231-240.
  117. Melenberg, B. and A. van Soest, (1996) Parametric and semiparametric modelling of vacation expenditures. Journal of Applied Econometrics, 11, 1, 59-76.
  118. Otten, R. and Bams, D. (2002) European mutual fund performance, European Financial Management, 8, 1, 75-101.
  119. Myers, D.H. (2004) The reaction of asset flows to performance in pension account returns. Northern Finance Association, St. John's. Newfoundland, Canada, September.
  120. Newey, W.K., (1987) Specification tests for distributional assumptions in the tobit model. Journal of Econometrics, 34, 125-145.
  121. Petersen, D. and Waldman, D. (1981) The treatment of heteroscedasticity in the limited dependent variable model, Mimeo, University of North Carolina, Chapel Hill.
  122. Powell, J.L., 1984. Least Absolute Deviations Estimation for the Censored Regression Model, Journal of Econometrics, 25, 3, 303-325.
  123. Shamsuddin, A.F.M. (2001) Public pension and wealth inequality in Canada, Applied Economics Letters, 8, 315-320.
  124. Sharma, T. and Salas, F. (2004). Management Fee in Mexican Afores, Latin America Conference on Economic Reform, Stanford.
  125. Sharpe, W. (1966) Mutual fund performance. Journal of Business 39, 119-138.
  126. Sirri, E. and Tufano, P. (1998) Costly search and mutual fund flows, Journal of Finance 53, 1589- 1622.
  127. Tarrazón Rodon, M.A. and Montllor Serrats, J. (1993) Estrategias de inversión de los fondos de pensiones, Perspectivas del Sistema Financiero, 42, 44-53.
  128. Thogersen, O. (2001) Reforming social security: assessing the effects of alternative funding strategies, Applied Economics, 33, 1531-1540.
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