This definitional, stocktaking paper aims to provide a comprehensive review of the concepts and definitions related to “green” investments that are currently used in the market place. The purpose of this research is not to take a position on a specific definition but rather to explore what...

Many college and university 403(b) plans restrict the menu of investment choices to funds offered by TIAA-CREF, the current manager of over half of all 403(b) contributions. Further, in the face of Internal Revenue Code changes that will take effect in 2006 and will make 403(b) plan ERISA...

I document portfolio pumping at the fund family level, a strategy that non-star fund managers buy stocks held by star funds in the family to inflate their performance at the quarter end. Families that heavily employ the strategy show strong evidence of inflated performance after 2002, when the...

The October, 2016 money-fund reform obliged institutional prime funds to start floating their Net Asset Values (NAVs), whereas retail prime funds could continue with stable NAVs. We use this contrast to assess the effect of NAV flotation on fund management. We find that institutional funds...

I study the history and performance of commercial real estate (CRE) in the pension fund portfolio, showing how many plan sponsors fundamentally changed their approach to CRE investment once underfunding gaps began to emerge in the early and middle 2000s. Several new empirical facts are...

Institutional investors, such as pensions and insurers, are typically constrained to hold enough wealth to be able to make their contractually promised payments to fund beneficiaries. This creates an additional risk in the economy, namely the risk of funding shortfall. We seek to explore the...

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

We study a regulation that increased mutual funds' risk salience through name change. Using daily fund flow data and several identification strategies, we find that requiring certain fixed income mutual funds to affix an exclamation mark ("!") to their names caused a statistically and...

In this study, I use detailed data on bond and derivative positions of pension funds and insurance companies (P&Is) in the Netherlands to study demand shifts and their direct effect on yields. In particular, I exploit a change in the regulatory discount curve that made the liabilities more...

A white-box deterministic system simulates long-term LDI cashflows using as input J.P.Morgan Long Term Capital Market Assumptions adapted to make them interest rate dependent. Trading, coupons and dividends provide cashflows to pay liabilities and extract excess cash to stakeholders while...