Purpose – This paper aims to examine the investment performance of pension funds in the UK using the three standard performance measurement models, the capital asset pricing model (CAPM), Fama-French model and the Carhart model. Design/methodology/approach – The authors use the CAPS-Mellon survey data for the period 1990-2008 and employ the three standard performance measurement models, the CAPM, Fama-French model and the Carhart model in assessing the investment performance of the pension funds. Findings – The authors show that the abnormal returns of pension funds cannot be fully explained by size, book-to-market values, market returns, momentum and the term spread. The authors find larger abnormal returns in bond than in equity portfolios and that smaller funds outperform larger funds. The paper also shows that the addition of the momentum factor does not improve on the three-factor Fama-French model. The authors find that pension funds exhibit superior performance relative to the linear factor models. Research limitations/implications – First, this study contributes to the extant literature on pension funds performance. Future research may also extend the authors' work to incorporate economic, tax, political and legal differences across the countries on the performance of pension funds. Second, due to data constraints, this study excludes the default probability of corporate bonds as an additional variable in their tests on bond returns. Future work may add the default probability as an additional variable whilst examining bond returns. Practical implications – The authors believe that the findings will be considerable food for thought for fund managers who continuously attempt to explore opportunities to provide a higher return to investors. Originality/value – To the authors' knowledge, this is the first comprehensive study that investigates the performance of UK equity and bond pension funds relative to standard linear factor models such as the CAPM, Fama and French, and Carhart.

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has a PhD in Pensions, she is the Head of the Finance and Business Law Department at the Westminster Business School and the Director of the Pension Investment Academy. Orla has published numerous articles and has wide experience of pension matters. Roberta Adamiis a senior lecturer in Finance at the University of Westminster and a visiting lecturer at the University of Bologna. She was formerly a Financial Analyst at Citibank and Tokai Bank, Europe. Roberta has spoken at numerous conferences and contributed many articles to the pensions press. James Waters is a lecturer in macroeconomics and microeconomics at the University of Westminster. He was formerly a researcher at the University ' s Business School, and currently researches on economic growth. He holds degrees from the Universities of Bradford and Cambridge.Abstract Governments of many Western countries are committed to render the pension system sustainable in the long term. We study the links between pension reforms, retirement age, income and retirement decisions by examining data from two nationwide surveys in Italy and the UK. While the Italian system remains centred on state pension, the UK places greater emphasis on private savings and on the increase of retirement age. Our analysis of the differences in retirement decisions between the UK and Italy over a ten-year period (1992 -2002) allows us to determine the effective retirement ages and reveal a greater volatility in the average Italian retirement age compared to the UK. By investigating the relationship between income and retirement age, we conclude that, in both countries, high earners retire relatively early, while those in the lowest income groups tend to retire later; however, there are marked differences in the way our two samples behave over the period studied.

This paper examines the relation between abnormal stock returns and leverage.Expanding on Modigliani and Miller's (1958) show that leverage is a firm characteristic that loads on a risk factor. This evidence suggests that leverage should be priced as a risk factor and requires adequate incorporation into common asset pricing models.3

Purpose -The purpose of this paper is to investigate how changes in the distribution of pre retirement labour earnings affect post-retirement income in the UK. Design/methodology/approach -The authors estimate a PROBIT model and perform a counterfactual simulation to assess the effects of changes in the earnings distributions on pensions in the UK. The paper uses data from the British Household Panel Survey (BHPS). Findings -The distribution of labour earnings before retirement plays a considerable role in the pension distribution of current retirees, particularly for low and medium incomes in the period 1991-2007 for the UK. Improvements in Social Security have lifted many out of poverty; however there is still a gender gap as it is found that the current system of public and private schemes has not substantially improved pension income dispersion among women. On the other hand, changes in labour earning distributions have benefited more poor female pensioners than male. Originality/value -The paper uses BHPS data, which is a longitudinal panel of survey questions made to UK households between 1991 and 2007. The level of detail of such data allows the study of the complete distributions of pre and post retirement income rather than focussing only on some measures of dispersion.