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Party size, party morale, inventory weight, and number of mounted troops vs footsoldiers all have an effect too, but pathfinding is the most important.
In the meantime, sign up as a mercenary with one of the kingdoms and join in on their battles. Just be sure to stay well away from Khergit territory if your kingdom goes to war with them.
All of this is important.
Why chase them? If they are running away from you... start disbanding troops. It's usually better to have smaller numbers of elite troops than larger numbers of peasants (unless you're letting the AI resolve battles).
Get everyone on horses. This means recruiting knights and/or horse archers.
Stay small. At around 200+ party size, you're at the point where you can't catch anything worthwhile while bigger threats can catch you. Best to just keep your party to yourself, companions and that's it. Stick the rest of the army in garrison until you need them for a siege.
Up to around 80+ party size, having one horse per 5 inventory items tends to cancel out the negative effect of those items.
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Note, the game doesn't consider 'weight' per se. It goes by 'number of inventory items'. So 6 bunches of grapes can slow you down as much as 6 sacks of grain (and horses also count as inventory items... that's why a completely empty inventory lets you go faster than an inventory full of horses).
How do you garrison?
To become a vassal I need to help a Kingdom, right?
To have my own kingdom I need to have a castle or town?
Heavy trade goods definitely slow you down more than other inventory items.
One trick for catching up with bandits is to camp near their base, then when they get close follow them and hit "ctrl+space" to speed up time. I've found that if you start out close enough to them it will often put you in combat even if you haven't quite reached them yet.
If you take a castle or town on your own, without being a vassal, you will automatically start your own kingdom. Be warned though, this is a difficult path for a new player. You would be better off playing as a vassal for a while.