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Demertzis, Maria - de Nederlandsche Bank - 2011

Using the model by Morris and Shin (2002), we distinguish between how people perceive a state and how they act upon it. We show than even for perceptions, where the coordination motive plays no role, improving the quality of public information does not always reduce the forecasting error. The...

Persistent link: https://www.econbiz.de/10009018571

Forecasting Market Impact Costs and Identifying Expensive Trades

Bikker, Jacob; Spierdijk, Laura; Hoevenaars, Roy; … - de Nederlandsche Bank - 2006

Often, a relatively small group of trades causes the major part of the trading costs on an investment portfolio. For …

Persistent link: https://www.econbiz.de/10005021846

An institutional evaluation of pension funds and life insurance companies

Broeders, Dirk; Chen, An; Koos, Birgit - de Nederlandsche Bank - 2009

contract specifications and in regulatory regimes. Mean-variance analysis is conducted to determine annuity choices of …

Persistent link: https://www.econbiz.de/10008522674

Pension fund sophistication and investment policy

Dreu, Jan de; Bikker, Jacob - de Nederlandsche Bank - 2009

This paper assesses the sophistication of pension funds' investment policies using data on 748 Dutch pension funds … during the 19992006 period. We develop three indicators of sophistication: gross rounding of investment choices, investments … sophisticated asset allocation rules tend to opt for investment strategies with a lower risk-return profile. …

Persistent link: https://www.econbiz.de/10004983365

Stock market performance and pension fund investment policy: rebalancing, free float, or market timing?

Bikker, Jacob A.; Broeders, Dirk W.G.A.; Dreu, Jan de - de Nederlandsche Bank - 2007

This paper is the first that examines the impact of stock market performance on the investment policy of pension funds …, outperformance of equities over bonds and other investment categories automatically results in a higher actual equity allocation (and … vice versa), as pension funds do not continuously rebalance their investment portfolios. Each quarter, pension funds …

Persistent link: https://www.econbiz.de/10005101796

Pension regulation and the market value of pension liabilities - a contingent claims analysis using Parisian options

Broeders, Dirk; Chen, An - de Nederlandsche Bank - 2008

We analyze the market-consistent valuation of pension liabilities in a contingent claim framework whereby a knock-out barrier feature is applied to capture early regulatory closure of a pension plan. We investigate two cases which we call immediate closure procedure" and delayed closure...

Persistent link: https://www.econbiz.de/10005101812

Valuation of Conditional Pension Liabilities and Guarantees under Sponsor Vulnerabilities

Broeders, Dirk - de Nederlandsche Bank - 2006

This paper analyzes the relationship between a pension fund with conditionally indexed de.ned benefit liabilities and its sponsor, using contingent claims analysis. As pension funds run a mismatch risk, future surpluses and shortfalls will occur. Surpluses are divided between beneficiaries and...

Persistent link: https://www.econbiz.de/10005106637

Optimal Investment Policies for Defined Benefit Pension Funds

Siegmann, A.H. - de Nederlandsche Bank - 2003

This paper analyzes optimal investment policies for pension funds of a defined benefit (DB) type. The nature of a DB … investment policies of six large Dutch pension funds. …

Persistent link: https://www.econbiz.de/10005106728

Optimal Investment Policies for Defined Benefit Pension Funds

Siegmann, Arjen - de Nederlandsche Bank - 2003

This paper analyzes optimal investment policies for pension funds of a defined benefit (DB) type. The nature of a DB … investment policies of six large Dutch pension funds. …

Persistent link: https://www.econbiz.de/10005030253

Utility-equivalence of pension security mechanisms

Broeders, Dirk; Chen, An; Koos, Birgit - de Nederlandsche Bank - 2014

be made utility-equivalent by adjusting the pension contract specifications. The utility-equivalence approach could serve …

Persistent link: https://www.econbiz.de/10010736482