This article investigates the performance of Spanish pension funds using a range of linear and nonlinear performance models. As the sample presents characteristics of higher-order moments, traditional performance measures are distorted. We generate alternative performance models which include...

The European Union Emissions Trading Scheme (EU ETS) is the first and largest international scheme for the trading of greenhouse gas emission allowances (European Union Allowances (EUA)). Considering that the global economic crisis is hurting corporate profits, analysing the implications of CO₂...

By using Lakonishok et al.(1992) measure, this work provides empirical evidence of herding behaviour in strategic assets allocated by Spanish funds investing in domestic equities from July 1997 to June 2002. This phenomenon is found with more significance when considering more important...

In this paper, we analyse the persistence phenomenon on the returns obtained by Spanish equity pension funds in the period 1999–2006, an unexplored topic in the Spanish financial market, one of the most emerging pension fund industries in the European Union. We provide evidence for a short-run...

In this article, we examine whether traditional linear models are suitable to assess financial samples, because financial data usually present nonnormality or nonlinear patterns, therefore linear models do not always adequately capture them. For this reason, as returns series usually follow...

Traditional timing models are affected by several biases, which generate spurious timing and stock-picking coefficients. Academics have appointed different causes as the possible sources of these biases. A negative correlation between timing and stock-picking abilities arises as a consequence of...