Managing retirement wealth is one of the major financial decisions that individuals face. In this setting, I document a strong negative relationship between stock market returns and annuitization. Using a novel dataset with more than 103,000 actual payout decisions, I find that positive stock...

Using a novel dataset with over 100,000 actual payout decisions, we investigate the nature of the strong negative relationship between recent stock returns and the annuitization of retirement savings. After controlling for several standard explanations (e.g., wealth effects), we present evidence...

I document a strong negative relationship between stock market returns and annuitization. Using a novel dataset with more than 103,000 actual payout decisions, I find that positive stock market returns decrease the likelihood of employees choosing an annuity over a lump sum, and vice versa. More...

I document a strong negative relationship between stock market returns and annuitization. Using a novel dataset with more than 103,000 actual payout decisions, I find that positive stock market returns decrease the likelihood of employees choosing an annuity over a lump sum, and vice versa. More...

This article implements the minimum variance frontier for the stochastic discount factor, according to both Hansen and Jagannathan (1991) and Cochrane and Hansen (1992), for the Brazilian stock market. Two approaches are considered in terms of equity returns and equity premium, respectively, the...

This paper specifies and estimates a structural dynamic stochastic model of the way individuals make retirement and saving choices in an uncertain world, and applies that model to analyze the effects of the stock market bubble on retirement behavior. The model includes individual variation both...

Public-sector pension plans administered by CalPERS face scrutiny because of large unfunded liabilities. The current underfunding is usually blamed on investment losses that occurred during the recent economic downturn. This paper finds that the true culprit is inaccurate actuarial forecasting,...

While there is little controversy on the profitability of momentum strategies, their implementation is afflicted with many difficulties. Most important, chasing momentum can generate high turnover. Though there are already several attempts to make momentum strategies less expensive with respect...

This study investigates whether discount rate changes serve as an informative signal for investors to enter or exit the stock market. Based on the signal, a market timing strategy is formulated and its performance relative to a passive buy-and-hold strategy is tested with several performance...

This paper uses daily data to analyze how Turkish stock market reacted to terror attacks that took place between 1996 and 2007 in Turkey and September 11, 2001 in the United States. Two different methodologies are used. The first one is abnormal returns methodology, and the second one is time...