The aim of this study is to analyze investor response to different measures of pension plan performance. To do this, we implement a fixed effects panel data methodology corrected by heteroskedasticity, serial correlation and cross-sectional dependence, as proposed by Vogelsang (2012). The...

We evaluate the impact of Financial Accounting Standard 132 by measuring how well its required asset allocation information predicts next year's pension returns. We compare the predictive capability of several different models, including Sharpe's style model and survey data by Pensions &...

The purpose of this study is twofold. On one hand we derive an optimal allocation framework between stocks and bonds, with and without a momentum factor, taking into account a regime-switching model based on monthly equity and interest rate data since 1870. On the other, we investigate the...

In this paper we analyze the impact hedging longevity risk can have on a pension fund's funding ratio volatility and ALM strategy. Our model captures all relevant aspects of the ALM problem and is calibrated to industry statistics; however, we've sacrificed model complexity to make the solution...

The funding ratio is a financial indicator to measure the viability of pension funds. The paper analyzes how Swiss occupational pension funds' technical discount rate and asset allocation are related to the funding ratio. The paper shows that funds with weaker funding ratios apply higher rates...

Simulations of a model pension scheme are run with stochastic economic and demographic factors, with an aim to investigate the impact of these factors on movements in funding ratio and average contribution rates. These impacts are analyzed by running regressions of movements in funding ratio and...

This paper examines the impact of the timing of contributions to defined benefit (DB) and defined contribution (DC) plans on investment returns. I show that net contributions to DB plans are counter-cyclical, while net contributions to DC plans are uncorrelated with the business cycle. The...