Showing 1 - 10 of 43
We investigate inattention on the part of pension plan participants using a novel dataset covering savings in Sweden's Premium Pension System, data that permit direct comparison of the investment behaviors of pension and retail mutual fund investors. Unlike retail mutual fund investors, pension...
Persistent link: https://www.econbiz.de/10013132013
This paper examines the impact of participants' age distribution on the asset allocation of Dutch pension funds, using a unique data set of pension fund investment plans for 2007. Theory predicts a negative effect of age on (strategic) equity exposures. We observe that pension funds do indeed...
Persistent link: https://www.econbiz.de/10013134156
Little is known about the degree to which individuals are uncertain about their future Social Security benefits, how this varies within the U.S. population, and whether this uncertainty influences financial decisions related to retirement planning. To illuminate these issues, we present...
Persistent link: https://www.econbiz.de/10013136091
This paper focuses on the exposure of common stocks to inflation risk and assesses the impact of this exposure on portfolio choice. We show that the relation between real stock returns and inflation rates, as well as the parameter uncertainty involved with this relation, has substantial...
Persistent link: https://www.econbiz.de/10013136105
Using U.K. microeconomic data, we analyze the empirical determinants of voluntary annuity market demand. We find that annuity market participation increases with financial wealth, life expectancy and education and decreases with other pension income and a possible bequest motive for surviving...
Persistent link: https://www.econbiz.de/10013136106
According to theory, institutional investors face both risk management and risk shifting incentives. This paper assesses the relevance of these conflicting incentives for Dutch pension funds and insurance firms over the period 1995-2009. Using a unique and extended dataset, we observe a...
Persistent link: https://www.econbiz.de/10013114512
Regulators often set value-at-risk (VaR) constraints to limit the portfolio risk of institutional investors. For some investors, notably pension funds, the VaR constraint is enforced over a horizon which is significantly shorter than the investment horizon of the investor. Our paper aims to...
Persistent link: https://www.econbiz.de/10013116262
This paper examines the influence of both trust and sociability on stock market participation and their implications for international differences in stockholding. Using data from the Survey of Health, Ageing and Retirement in Europe supplemented with information on regional trust from the World...
Persistent link: https://www.econbiz.de/10013116620
This paper explores the interaction between retirement flexibility and portfolio choice in an overlapping - generations model. We analyze this interaction both in a partial - equilibrium and general - equilibrium setting. Retirement flexibility is often seen as a hedge against capital - market...
Persistent link: https://www.econbiz.de/10013122372
This paper proposes a structural approach to long-horizon asset allocation. In particular, the investor draws inferences about asset returns from a vector autoregression (VAR) with economic restrictions on the intercept, slope, and covariance matrix implied by the long-run risk model of Bansal...
Persistent link: https://www.econbiz.de/10013107285