Maria Teresa Medeiros Garcia

Performance Evaluation of Pension Funds Management Companies with Data Envelopment Analysis

This article uses Data Envelopment Analysis (DEA) to evaluate the performance of Portuguese pension funds management companies from 1994 to 2003, combining operational and financial variables. We evaluate how close the pension funds management companies are to the best practices frontier, also analyzing how they manage their funds. Implications of this research for managerial purposes are then drawn.

Internal and external determinants of banks’ profitability

Purpose - – The purpose of this paper is to analyze the profitability of 27 universal banks in Portugal over the period from 2002 to 2011. Design/methodology/approach - – The paper conducts ordinary least squares estimations with fixed effects using three measures of profitability: the return on average assets, the return on average equity and the net interest margin. Several independent variables were included concerning both bank-specific and macroeconomic and industry-specific characteristics which have not been considered in previous studies. In addition, the sub-sample between 2008 and 2011 was considered for comparative analysis. Findings - – The authors concluded that the independent variables selected, with few exceptions, behaved accordingly to what was expected. Originality/value - – To the best of the author’s knowledge, this is the first attempt to examine determinants of banks’ profitability in Portugal, both internal and external, using time series data, which have not been considered in previous studies.

An empirical analysis of the effects of options and futures listing on the underlying stock return volatility: the Portuguese case

The volatility implications of derivatives listing are not understood. Theoretical and empirical analyses on this issue have led to conflicting conclusions. This paper analyses the volatility effect of the initial exchange-listing of options and futures on the Portuguese capital market.The volatility implications of derivatives listing are not understood. Theoretical and empirical analyses on this issue have led to conflicting conclusions. This paper analyses the volatility effect of the initial exchange-listing of options and futures on the Portuguese capital market.

Determinants of the property-liability insurance market: evidence from Portugal

Purpose - The purpose of this paper is to investigate empirically the relationship between property-liability insurance premiums and economic and financial development in the case of Portugal, assuming a supply-leading causality pattern of development. In other words, the expansion of the financial system precedes the demand for services. Design/methodology/approach - The paper conducts OLS estimations between premiums and the gross domestic product (GDP) in order to evaluate the economic growth, in addition to the ratio of the broader definition of money (M2) to GDP and the ratio of currency to demand deposits (M1/M2), in order to assess financial development. Findings - The level of the gross domestic product is the only factor explaining the level of property-liability insurance demand in Portugal. Originality/value - To the best of the authors knowledge, this is the first attempt to examine determinants of property-liability casualty insurance in Portugal, using time series data.

The Macroeconomic Impact of Reforming a PAYG System: The Portuguese Case

The article analyses the impact of various types of reform options on social security pension system financial sustainability and on a range of macroeconomic variables. The HERPOR model is used to consider the likely effects of parametric reforms of the existing pay-as-you-go system, as well as those of a systemic reform. The article concludes that the former are sufficient to ensure financial sustainability, although they should be accompanied by employment implementation measures. The article concludes that a fully pre-funded system does not seem to be a viable option for policy-makers in the redesigning of social security pension systems, due to the high transition costs involved.

Ownership of individual retirement accounts – an empirical analysis based on SHARE

Abstract This paper examines the household retirement saving decisions in what concerns to the ownership of Individual Retirement Accounts (IRAs) in eight European Union (EU) countries. IRAs are more and more seen as an alternative to public pension benefits, which are decreasing. Therefore, understanding the enrolment in IRAs, both the socio-economic factors and over time, is most important. Detailed empirical analysis of the factors that might influence the ownership of IRAs is presented based on Survey of Health Ageing and Retirement in Europe (SHARE), using data from Wave 2 (2006–2007) and Wave 4 (2010–2011). Further, to analyse the impact of legal retirement age in the ownership of IRAs, two subsamples are considered: people aged between 50 and 64 years old (50–64 years) and people aged 65 or over (≥ 65 years). The results suggest that age, years of education, income and ownership of dwelling influence positively and significantly household saving, while number of children, marital status and risk aversion have a negative effect. Marital status and income are not statistically significant for retired people. Policy implications are derived.

Central bank independence and stock market returns in developed countries

ABSTRACT Central bank independence (CBI) is seen in the literature and by policy-makers as being important for achieving stability of inflation and long-term welfare. However, relatively few studies directly consider the relationship between CBI and stock market returns. Using a set of 21 developed countries, over a period of 20 years, and the Morgan Stanley Capital International indices, we test the impact caused by the levels of independence of countries’ central banks. The results lead us to conclude that the ‘free lunch’ hypothesis behind CBI cannot be rejected when its impact on stock market returns is considered.

Workers’ compensation insurance prices: evidence from Portugal

The purpose of this paper is to analyse the determinants of workers’ compensation insurance prices in Portugal.,Multiple regression analysis was used to study the insurance price determinants. The independent variables considered are: payroll, number of employees, and incidence rate. In addition, three categorical variables were used: region, classification of economic activities, and enterprise size. A cross-firm panel data sample from the SABI database of 1,435 firms was considered, over a time horizon from 2010 to 2012. Furthermore, the sample split criterion was the enterprise size.,As expected, the results suggest that payroll and number of employees are related with workers’ compensation insurance prices. Furthermore, incidence rate, region, type of economic activities, and enterprise size have a positive and significant influence on premiums.,More panel data are needed to allow a greater focus on the impacts of GDP fluctuations and sectoral consolidation on insurance pricing. Further research could also include the impact of capital/reserving cycles, which can be driven both by economic shocks and the competition cycle. It is well known that insurers tend to reduce reserving standards when under pressure, and this can result in inadequate pricing.,The process of workers’ compensation insurance price formation is disentangled. The results suggest that the workers’ compensation insurance premiums behave as expected, especially under periods of economic strain. Therefore, workers’ compensation rate regulation should take this evidence into account, specifically through the establishment of minimum rates, which will protect the insurer, the employer, and the employees alike.,The paper is part of a considerable literature on insurance pricing in workers’ compensation, most of which has centred on private markets in the USA. This paper is the first empirical work that employs private market data for Portugal.