We study the impact of freezing defined benefit (DB) pension plans and replacing them with defined contribution (DC) plans on liquidity, financial leverage, investment, and market value of a sample of firms over 2001-2008. We find evidence that the pension freeze tends to attenuate the drain on...

This study aims to clarify whether Long Term Equity Funds (henceforth LTFs) are worth the investment of those planning for retirement. The 5-year quarterly returns (2012 -2016) were used to calculate beta and Sharpe ratio of the LTFs then compared to the gold and Thailand stock market's data....

Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by ageing populations. In this work, we study an optimal investment problem for a defined contribution pension scheme which decides to hedge the longevity risk using a mortality-linked...

This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme efficiently, the manager and members agree to share the investment risk based on a pre-decided risk-sharing rule. The...

In this article, we investigate the relationship between volatility in the stock market and the trading behaviour of employees in defined-contribution (DC) pension schemes. We found that 10 percent of our sample exhibited compulsive gambling behaviour; in other words, they both ‘fed' and...

A prerequisite for preserving and increasing the value of pension funds is to make an appropriate investment with them; for this purpose most countries have issued regulation to guide the pension investment. After conducting an empirical analysis of different investment portfolios, e.g. Bank...

Using a survivorship and selection bias free database of actively managed private Turkish Pension funds we show that most managers are not able to provide performance above and beyond what could be earned by passive indexing. At its simplest, funds with self-declared benchmarks fail to beat them...

The aim of this paper is to investigate long-term portfolio management in a fully structural macro- financial framework. First, we estimate a Dynamic Stochastic General Equilibrium (DSGE) model that describes the dynamic of the US economy and financial markets. In addition to the typical...

Active investors with limited attention and capital constraints use fundamental metrics to screen and sort potential investments. Price-earnings (P/E) ratios are extremely popular, and are typically calculated using four trailing quarters of net income. Changes in the rankings of published P/E...