Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW.Download this ZEW Discussion Paper from our ftp server:ftp://ftp.zew.de/pub/zew-docs/dp/dp10070.pdf Non-Technical SummaryThe paper provides new evidence on the factors that explain stock returns on the emerging markets. It focuses on the largest and most developed of the Central and Eastern European markets, the Polish stock market, which has been previously overlooked by the literature.In addition to the established factors, such as market, size and book-to-market value we investigate whether liquidity helps explaining Polish stock returns. The literature argues that liquidity should play a role on an emerging stock market where securities and investors are scarce and trading volumes are lower than on developed markets. The study is based on a hand-collected and carefully constructed dataset. In addition, our paper utilizes the largest array of liquidity measures considered in the literature to-date. In this way we ensure that our results are robust to multiple dimensions of liquidity. Our results support the hypothesis that the market, size, and book-to-market factors are important for explaining returns on the emerging Polish stock market. However, contrary to the expectations we do not find convincing evidence that liquidity is a priced factor. The results are robust across various liquidity measures and time periods. Das Wichtigste in Kürze AbstractThe paper extends the evidence on the factors relevant for pricing stocks in emerging markets. While previous literature focused on Latin American and Asian developing markets, Central and Eastern European markets remain under-researched. By focusing on the Polish stock market, we aim to fill in a gap in the asset pricing literature and draw attention to these previously overlooked markets. In addition to analyzing the importance of the most prominent risk-factors such as market, size and book-to-market value, we investigate whether liquidity plays a role in pricing Polish stocks. To test this conjecture we use the largest array of liquidity measures that has been used in the literature to date. We take advantage of a hand-collected dataset covering the longest period studied so far in case of the this market. Our results support existing evidence for developed markets with regard to the market, size, and book-to-market factor. However, in contrast to studies on other emerging markets, we do not find convincing evidence in favour of the liquidity risk premium on the Polish stock market. This result is robust acro...

Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW.Download this ZEW Discussion Paper from our ftp server:ftp://ftp.zew.de/pub/zew-docs/dp/dp10070.pdf Non-Technical SummaryThe paper provides new evidence on the factors that explain stock returns on the emerging markets. It focuses on the largest and most developed of the Central and Eastern European markets, the Polish stock market, which has been previously overlooked by the literature.In addition to the established factors, such as market, size and book-to-market value we investigate whether liquidity helps explaining Polish stock returns. The literature argues that liquidity should play a role on an emerging stock market where securities and investors are scarce and trading volumes are lower than on developed markets. The study is based on a hand-collected and carefully constructed dataset. In addition, our paper utilizes the largest array of liquidity measures considered in the literature to-date. In this way we ensure that our results are robust to multiple dimensions of liquidity. Our results support the hypothesis that the market, size, and book-to-market factors are important for explaining returns on the emerging Polish stock market. However, contrary to the expectations we do not find convincing evidence that liquidity is a priced factor. The results are robust across various liquidity measures and time periods. Das Wichtigste in Kürze AbstractThe paper extends the evidence on the factors relevant for pricing stocks in emerging markets. While previous literature focused on Latin American and Asian developing markets, Central and Eastern European markets remain under-researched. By focusing on the Polish stock market, we aim to fill in a gap in the asset pricing literature and draw attention to these previously overlooked markets. In addition to analyzing the importance of the most prominent risk-factors such as market, size and book-to-market value, we investigate whether liquidity plays a role in pricing Polish stocks. To test this conjecture we use the largest array of liquidity measures that has been used in the literature to date. We take advantage of a hand-collected dataset covering the longest period studied so far in case of the this market. Our results support existing evidence for developed markets with regard to the market, size, and book-to-market factor. However, in contrast to studies on other emerging markets, we do not find convincing evidence in favour of the liquidity risk premium on the Polish stock market. This result is robust acro...

Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW.Download this ZEW Discussion Paper from our ftp server:ftp://ftp.zew.de/pub/zew-docs/dp/dp10076.pdf Non-Technical SummaryFollowing the proposal of the World Bank in the end of the 1990s, a number of Central European countries have extended their pay-as-you-go pension systems by a capital-market-based element in the form of privately managed pension funds. As a result of these reforms, new type of financial institutions -defined contribution pension funds -have been introduced in these countries. To guarantee the security of future pensions, governments imposed regulation on the investment practices and performance of the pension funds. This approach to regulation differs from the traditional "prudent man" rules applied in a number of developed countries. This paper presents an analysis of pension funds' performance in Poland and Hungary, two Central European countries characterized by strong regulation of their private pension fund industries. The paper extends the literature which has so far mostly focused on performance of pension fund industries facing no or only limited regulation. We find that the performance of pension funds in the two studied countries differs. While we do not find convincing evidence of outperformance by Polish pension funds, we find strong evidence of underperformance by Hungarian pension funds. The results are robust to time-variation. The paper considers possible explanations behind these findings. The results of the paper should be of interest for policy-makers seeking to achieve optimal performance of the pension systems and academics in the research area of pension funds. AbstractThis paper presents an analysis of pension funds' performance in Poland and Hungary, two Central European countries characterized by strong regulation of their private pension fund industries. Thus, the paper extends the literature which has so far mostly focused on performance of pension fund industries facing no or limited regulation. We find that the performance of pension funds in the two studied countries differs. While we do not find convincing evidence of outperformance by Polish pension funds, we find strong evidence of underperformance by Hungarian pension funds. The results are robust to time-variation. The paper considers possible explanations behind these findings. The results of the paper should be of interest for policy-makers seeking to achieve optimal performance of the pension systems and academics in the research area of pension funds.

Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW.Download this ZEW Discussion Paper from our ftp server:ftp://ftp.zew.de/pub/zew-docs/dp/dp10076.pdf Non-Technical SummaryFollowing the proposal of the World Bank in the end of the 1990s, a number of Central European countries have extended their pay-as-you-go pension systems by a capital-market-based element in the form of privately managed pension funds. As a result of these reforms, new type of financial institutions -defined contribution pension funds -have been introduced in these countries. To guarantee the security of future pensions, governments imposed regulation on the investment practices and performance of the pension funds. This approach to regulation differs from the traditional "prudent man" rules applied in a number of developed countries. This paper presents an analysis of pension funds' performance in Poland and Hungary, two Central European countries characterized by strong regulation of their private pension fund industries. The paper extends the literature which has so far mostly focused on performance of pension fund industries facing no or only limited regulation. We find that the performance of pension funds in the two studied countries differs. While we do not find convincing evidence of outperformance by Polish pension funds, we find strong evidence of underperformance by Hungarian pension funds. The results are robust to time-variation. The paper considers possible explanations behind these findings. The results of the paper should be of interest for policy-makers seeking to achieve optimal performance of the pension systems and academics in the research area of pension funds. AbstractThis paper presents an analysis of pension funds' performance in Poland and Hungary, two Central European countries characterized by strong regulation of their private pension fund industries. Thus, the paper extends the literature which has so far mostly focused on performance of pension fund industries facing no or limited regulation. We find that the performance of pension funds in the two studied countries differs. While we do not find convincing evidence of outperformance by Polish pension funds, we find strong evidence of underperformance by Hungarian pension funds. The results are robust to time-variation. The paper considers possible explanations behind these findings. The results of the paper should be of interest for policy-makers seeking to achieve optimal performance of the pension systems and academics in the research area of pension funds.

Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW.Download this ZEW Discussion Paper from our ftp server:ftp://ftp.zew.de/pub/zew-docs/dp/dp10076.pdf Non-Technical SummaryFollowing the proposal of the World Bank in the end of the 1990s, a number of Central European countries have extended their pay-as-you-go pension systems by a capital-market-based element in the form of privately managed pension funds. As a result of these reforms, new type of financial institutions -defined contribution pension funds -have been introduced in these countries. To guarantee the security of future pensions, governments imposed regulation on the investment practices and performance of the pension funds. This approach to regulation differs from the traditional "prudent man" rules applied in a number of developed countries. This paper presents an analysis of pension funds' performance in Poland and Hungary, two Central European countries characterized by strong regulation of their private pension fund industries. The paper extends the literature which has so far mostly focused on performance of pension fund industries facing no or only limited regulation. We find that the performance of pension funds in the two studied countries differs. While we do not find convincing evidence of outperformance by Polish pension funds, we find strong evidence of underperformance by Hungarian pension funds. The results are robust to time-variation. The paper considers possible explanations behind these findings. The results of the paper should be of interest for policy-makers seeking to achieve optimal performance of the pension systems and academics in the research area of pension funds. AbstractThis paper presents an analysis of pension funds' performance in Poland and Hungary, two Central European countries characterized by strong regulation of their private pension fund industries. Thus, the paper extends the literature which has so far mostly focused on performance of pension fund industries facing no or limited regulation. We find that the performance of pension funds in the two studied countries differs. While we do not find convincing evidence of outperformance by Polish pension funds, we find strong evidence of underperformance by Hungarian pension funds. The results are robust to time-variation. The paper considers possible explanations behind these findings. The results of the paper should be of interest for policy-makers seeking to achieve optimal performance of the pension systems and academics in the research area of pension funds.