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Pension Fund Equity Performance : Patience, Activity or Both?
Artiga González, Tanja - 2018
higher holding duration, separately, lead to higher risk adjusted returns on average. However, if high activity is paired …
Persistent link: https://www.econbiz.de/10012910550
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Pension Funds and Private Equity Real Estate : History, Performance, Pathologies, Risks
Riddiough, Timothy J. - 2020
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...
Persistent link: https://www.econbiz.de/10012824562
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Pension Fund ALM - Can Pension Funds Stabilize Funding Levels and Improve Long-Term Return by Hedging Longevity Risk?
Schrager, David - 2019
In this paper we analyze the impact hedging longevity risk can have on a pension fund's funding ratio volatility and … hedging longevity risk creates additional risk budget to be put towards more rewarding asset allocation strategies, thereby … improving the overall ALM outcome of the modelled pension fund.We show that at representative parameters for the risk and return …
Persistent link: https://www.econbiz.de/10012871632
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Individual Investor Activity and Performance
Dahlquist, Magnus - 2016
System. We find that active investors earn significantly higher returns and risk-adjusted returns than inactive investors. A …
Persistent link: https://www.econbiz.de/10013008250
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Individual Investor Activity and Performance
Dahlquist, Magnus - 2016
We examine the daily activity and performance of a large panel of individual investors in Sweden's Premium Pension System in the period 2000 to 2010. We find that active investors outperform passive investors, and that there is a causal effect of fund changes on performance. Chosen funds...
Persistent link: https://www.econbiz.de/10013008401
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Individual Investor Activity and Performance
Dahlquist, Magnus - 2016
System. We find that active investors earn significantly higher returns and risk-adjusted returns than inactive investors. A …
Persistent link: https://www.econbiz.de/10013008454
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Non-Fundamental Flows and Foreign Exchange Rates
Aldunate, Felipe E.; Da, Zhi; Larrain, Borja; Sialm, Clemens - National Bureau of Economic Research - 2022
balance sheet data, we confirm that regulatory requirements and banks' risk bearing constraints create limits of arbitrage …
Persistent link: https://www.econbiz.de/10013477245
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Defined Contribution Pension Plans : Mutual Fund Asset Allocation Changes
Sialm, Clemens - 2015
In this paper we compare changes in asset allocations between mutual funds held in defined contribution pension plans and funds held by other investors. We investigate how flows into equity and fixed income mutual funds depend on macroeconomic conditions. We find that defined contribution plans...
Persistent link: https://www.econbiz.de/10013029079
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Fully Funded Pensions
Forman, Jonathan Barry - 2020
Persistent link: https://www.econbiz.de/10012846874
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The Effect of Objective Functions on Investment and Contribution Decisions for Defined Benefit Pension Schemes
Butt, Adam - 2016
objective functions as used in previous studies. These are contribution rate risk, excess contribution rate risk and funding … level risk. Simulation of a model scheme which is closed to new entrants is carried out to generate numerical values for the …
Persistent link: https://www.econbiz.de/10013007756