University of Twente Student Theses

Login

The influence of socially responsible investments and size on performance: A search for determinants of performance in Dutch industry-wide pension funds

Kruiger, G.K. (2014) The influence of socially responsible investments and size on performance: A search for determinants of performance in Dutch industry-wide pension funds.

[img] PDF
1MB
Abstract:Size influences the performance of a singular year according to Huang and Mahieu (2012), who found this investigating the performance persistence among Dutch industry-wide pension funds. Sievanen, Rita and Scholtens (2013) investigated the drivers of social responsible investments among European pension funds and they show that size influences the level of social responsible investments. The reason to look into social responsible investments is the empirical evidence that show a positive relationship between corporate social behavior and financial performance. A good corporate social behavior results in better long-term performance and better performance during crisis. It is assumed this also applies to socially responsible investments. This thesis explored the influence of socially responsible investments and size on the performance of Dutch industry-wide pension funds. The z-score was used as performance indicator and collected from the Federation of Dutch Pension Funds. The long-term performance, short-term performance and the performance during crisis is examined. For the long-term performance data from 1998-2012 was used to calculate the standard deviation. Based on this standard deviation a top and bottom group were created. The size is measured with total assets and active participants retrieved from the annual reports of 2008 and 2010. For measuring the level of socially responsible investments a proxy was used, the required data is also retrieved from the annual reports of 2008 and 2010. With Spearman’s rho Correlations the correlation between variables was checked. This showed no relationship with the standard deviation of pension funds. In addition this relationship was also checked using the Mann-Whitney rank sum test. The results show that pension funds who have a stable performance outperform pension funds who have an unstable performance during crisis. Both size and socially responsible investments influences the performance of a singular year, but no support was found for the influence of size or socially responsible investments during crisis or long-term performance. In addition a positive relationship between size and socially responsible investments was confirmed. This confirms the previous literature of Sievanen, Rita and Scholtens (2013). Remarkable is that over the years for size as for socially responsible investments the same values are assumed. In the research of Huang and Mahieu (2012) the assumption for size is also made. For socially responsible investments it is likely this assumption will not hold, because after the 2008 crisis a lot of developments took place. Future research should focus on exploring and finding the determinants of stable performance. At this moment there are already pension funds who are able to have such stable performance. These funds did not have to reduce the retirement benefits of their participants.
Item Type:Essay (Master)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:85 business administration, organizational science
Programme:Business Administration MSc (60644)
Link to this item:http://purl.utwente.nl/essays/65102
Export this item as:BibTeX
EndNote
HTML Citation
Reference Manager

 

Repository Staff Only: item control page