Sustaining in Uncertain Time: Investigating Pension Fund Performance during Market Stress

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F25%3A10505930" target="_blank" >RIV/00216208:11320/25:10505930 - isvavai.cz</a>

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=mWyzbl_vz5" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=mWyzbl_vz5</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.5755/j01.ee.36.1.36796" target="_blank" >10.5755/j01.ee.36.1.36796</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Sustaining in Uncertain Time: Investigating Pension Fund Performance during Market Stress

Popis výsledku v původním jazyce

The academic discourse on stress in the global economy and financial markets has ignited discussions regarding regulatory oversight of pension fund management and investment strategies. This study investigates how pension funds (PF) respond to short-term and long-term risks, as well as their recovery periods following market shocks. To address these inquiries, we classify financial market stress, considering both short-term and long-term risks. Utilizing the change point detection technique and Bayesian average (Zhao et al., 2019), we analyse shifts in the dynamics of PF values managed by SEB and Swedbank from 2004 to 2023. The research explores not only timings and the number of change points but also their likelihood over time. Drawdowns, recovery rates, and timing ratios are particularly insightful for assessing PF performance during crises and market disturbances. These findings contribute to the understanding of PF behaviour in various market conditions and underscore the significance of adaptive investment strategies in navigating financial uncertainties.

Název v anglickém jazyce

Sustaining in Uncertain Time: Investigating Pension Fund Performance during Market Stress

Popis výsledku anglicky

The academic discourse on stress in the global economy and financial markets has ignited discussions regarding regulatory oversight of pension fund management and investment strategies. This study investigates how pension funds (PF) respond to short-term and long-term risks, as well as their recovery periods following market shocks. To address these inquiries, we classify financial market stress, considering both short-term and long-term risks. Utilizing the change point detection technique and Bayesian average (Zhao et al., 2019), we analyse shifts in the dynamics of PF values managed by SEB and Swedbank from 2004 to 2023. The research explores not only timings and the number of change points but also their likelihood over time. Drawdowns, recovery rates, and timing ratios are particularly insightful for assessing PF performance during crises and market disturbances. These findings contribute to the understanding of PF behaviour in various market conditions and underscore the significance of adaptive investment strategies in navigating financial uncertainties.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2025

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Engineering Economics

ISSN

1392-2785

e-ISSN

2029-5839

Svazek periodika

36

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

LT - Litevská republika

Počet stran výsledku

17

Strana od-do

96-112

Kód UT WoS článku

001435153800006

EID výsledku v databázi Scopus

2-s2.0-86000347924