Using a comprehensive sample of trades by Schedule 13D filers, who possess valuable private information when they accumulate stocks of targeted companies, this paper studies whether several liquidity measures reveal the presence of informed trading. The evidence suggests that when Schedule 13D...

We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. In equilibrium, price impact and price volatility are stochastic, even though the fundamental value is constant. `Excess stochastic volatility' may arise because...

Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call...

This paper develops an analytical framework for the design of pension systems, taking the functions of the pension system as the guiding principle. It discusses the economic principles underlying these functions and their implementation in practice. In particular, it distinguishes three...

This paper takes stock of the evolution in pension systems and the challenges that remain for the future. It derives a typology of pension systems and uses this to discuss the strengths and weaknesses of alternative systems. After describing how pension systems in the industrial world have been...

This paper examines some of the main behavioral patterns that determine personal saving, investment, and retirement decisions, and considers ways to move them in a socially desirable direction. We pay special attention to factors contributing to people making choices that are not in line with...

We study the effects of macroeconomic shocks on different cohorts in the Dutch economy. From a calibrated stochastic model of macroeconomic risks, we derive typical shocks to productivity, demography and asset returns. The effects of these shocks are then simulated using an...

Comparing assessments of health, job satisfaction, etc. on a subjective scale across countries or socio-economic groups is often hampered by differences in response scales across groups. Anchoring vignettes help to correct for such differences, either in parametric models (CHOPIT and extensions)...