Resumen de Financial management of Spanish pension plans: comparison to the UK market
The dissertation consists of three parts. Part I, entitled Introduction to the Spanish pension system, consists of a sole chapter that summarises the specific characteristics of the Spanish pension industry and shows some statistics of the situation of pension funds in other international markets. Chapter 1 provides, therefore, an overview that allows us to introduce the specific features of this market to readers not very familiarised with the Spanish pension market, reinforcing the importance of analysing these financial instruments.
In the second part of the thesis, entitled Empirical analysis of the financial management: Application to the Spanish pension plans, relevant topics related to the management and performance of pension plans are studied. Chapter 2 examines the performance persistence of these portfolios, the influence of past performance on new investment flows and the relationship between past investment flows and future performance. Research papers about performance persistence have been abundant trying to find whether this phenomenon exists or not since it would be very useful information when it comes to making investment decisions. As a result, Chapter 2 starts with empirical evidence on the performance persistence, what leads us, in a second step, to check the influence of past performance on new investment flows (money and investor flows). Finally, this chapter also deals with the so-called smart money effect by examining the relationship between investment flows and future performance.
In Chapter 3, the investment style and its consequences to the performance of Spanish pension plans is analysed in detail. In particular, we firstly, focus on the estimation of the investment style of pension plans using the return-based style analysis. Secondly, we analyse the importance of the strategic asset allocation to explain the return differences between portfolios and finally, we compare the performance achieved by the portfolios and their investment styles.
In Chapter 4, we investigate if pension managers are engaged in herding behaviour analysing their strategic style allocations. In other words, we examine whether pension managers change their asset assignments bearing in mind their competitors movements. Furthermore, we also test the existence of intertemporal imitation and informational cascades.
Finally, the third and last part, entitled Empirical analysis of the financial management: Application to U.K pension plans, introduces the specific features of the pension provision in U.K along with the different empirical analysis carried out for the Spanish market with the aim of making some comparisons between an emerging and a developed market such as the Spanish and the U.K, respectively.
