基本养老保险基金投资、股票收益率与股价波动性

以2017—2022年各季度基本养老保险基金投资数据为样本,考察基本养老保险基金投资对股票收益率与股价波动性的影响。结果显示：基本养老保险基金持股比例变化对股票未来收益率有一定预测效应,持股比例增加会加剧股价波动。异质性检验表明,被持股公司规模越大,持股比例变化对股票收益率的影响越不明显,对股价波动性影响的时滞性越强。对于短期持股而言,持股比例增加会加剧股价波动,而对于长期持股而言,持股比例增加有利于稳定股价。鉴于此,应继续推动基本养老保险基金全国统筹,进一步扩大其市场化投资规模、延长投资考核期限,提升基金可持续发展能力。     

金融危机对拉美国家私营养老金的影响及经验启示

2008年爆发的金融危机对全球经济产生了重要影响,也对拉美国家私营养老金制度的发展产生了巨大冲击。文章介绍了拉美国家私营养老金制度的改革路径和养老基金概况,从养老金资产价值、投资收益率、投资组合、雇员、制度覆盖面和缴费密度方面切入,分析了金融危机对拉美私营养老金制度的影响。在现状分析的基础上,得出了要保障私营养老金制度可持续运行的一些经验启示:构建多元化的混合型养老金体系,增强退休和养老金支付的灵活性,积极运用生命周期投资策略,实施多元化和分散化投资,以养老金长期收益作为投资目标,建立社会风险应急储备基金和政府担保机制,以及加强员工退休教育。     

What determines corporate pension fund risk-taking strategy?

Corporate sponsors of defined benefit pension plans generally assume low investment risk when they have low funding ratios and high default risk, consistent with the risk management hypothesis. However, for financially distressed sponsors and sponsors that freeze, terminate, or convert defined benefit to defined contribution plans, the risk-shifting incentive (moral hazard) dominates. Pension fund risk-taking is also affected by labor unionization and sponsor incentives to maximize tax benefits, restore financial slack, and justify the accounting choices of pension assumptions. Sponsors shift toward an aggressive risk strategy when their pension plans emerge from underfunding, bankruptcy risk is reduced, or marginal tax rate decreases. Overall, we show that corporate sponsors adopt a dynamic risk-taking strategy in their pension fund investments.     

Closed-End Fund Expenses and Investment Selection

Investment returns on closed‐end funds are highly volatile. Because expenses have a definite negative impact on closed‐end fund returns, investors should include the expense ratio as a criterion for fund selection in addition to performance, investment objective, and risk of the fund. This paper constructs a model of the expense ratio of closed‐end funds to explain cross‐sectional differences in the expense ratios for the period between 1989–1996. We relate closed‐end fund expenses to fund characteristics and identify the factors that can help investors choose low expense closed‐end funds.     

An analysis of risk-taking behavior for public defined benefit pension plans

This paper presents the first comprehensive study on the determinants of public pension fund investment risk and reports several new important findings. Unlike private pension plans, public funds undertake more risk if they are underfunded and have lower investment returns in the previous years, consistent with the risk transfer hypothesis. Furthermore, pension funds in states facing fiscal constraints allocate more assets to equity and have higher betas. There also appears to be a herding effect in that CalPERS equity allocation or beta is mimicked by other pension funds. Finally, our results suggest that government accounting standards strongly affect pension fund risk, as higher return assumptions (used to discount pension liabilities) are associated with higher equity allocation and portfolio beta.     

Who incentivizes the mutual fund manager,new or old shareholders?

This study tests whether mutual fund shareholders continue to trade in response to fund returns after they make their initial investment in fund shares. It decomposes the relationship between fund returns and shareholder flow in a large, proprietary panel of all shareholder transactions in one midsize no-load mutual fund family. Results show that both new and old shareholders buy shares during periods of good returns; however, shareholder outflow is essentially unrelated to fund returns. This lack of a return-sell relationship is not driven by locked-in pension assets, shareholders’ ignorance of ongoing fund returns, or embedded capital gains. However, there is evidence that exchanges between equity funds in the family are related more strongly to returns of the destination fund than to returns of the origination fund. This may indicate that flow between equity mutual funds is driven by shareholders buying new funds rather than selling old funds. Supermarket shareholders are smart insofar as they exchange into funds that subsequently outperform their prior funds during their individual holding periods.     

Incentives and risk taking in hedge funds

We study how incentive fees and manager’s own investment in the fund affect the investment strategy of hedge fund managers. We find that loss averse managers increase the risk of the fund’s investment strategy with higher incentive fees. However, risk taking is greatly reduced if a substantial amount of the manager’s own money (at least 30%) is in the fund. Using the Zurich hedge fund universe, we test the relation between risk taking and incentive fees empirically. Hedge funds with incentive fees have significantly lower mean returns (net of fees), while downside risk is positively related to the incentive fee level. Fund of funds charging large incentive fees achieve relatively high mean returns, but with significantly higher risk as well.     

养老金改革考验我们经济学的功底和智慧北大核心

本文从四个方面思考中国养老金改革问题。一是指出养老金改革是一个多维复杂的系统。宏观角度涉及养老金缺口问题和资本市场健康发展,微观角度与生产率密切相关。从国际比较来看,中国的老龄化程度比全球平均水平更严重,但养老金储备属于全球较低水平。从增强养老保障可持续性看,可能有延长退休年龄、增加储蓄、减少替代率、增加预筹资金并确保资金保值增值等四种办法。二是提出中国养老金改革的总体框架。本文建议建立一个较为综合的衡量目标,比如G30采用的"终身财务安全度量(Lifetime Financial Security,简称LFS)"的方法,跨部门比较政策效果,讨论维持在同一框架内,避免各说各话。本文还提出,中国养老金制度从DB型转向DC型,可以采取历史还原法和名义账户的办法,解决养老金改革转轨中的代际公平问题,以及城乡差别、所有制差别问题。三是提出"N对1"养老金发放模式与30余个养老金管理机构数量等养老金经营管理设想,并指出养老金投资回报与风险偏好须匹配,结合我国资本项目开放进程考虑养老金全球化投资。四是从住房、民粹主义等非金融领域,延伸思考养老金改革的复杂性。最后,本文总结指出,中国养老金改革是一项考验经济学功底和智慧的重大课题,应从多个维度全面分析、讨论、测算、论证,高度重视养老金改革对相关各方的激励作用,做出大胆有效的改革。     

FINANCIAL LITERACY AND PENSION INVESTMENT DECISIONS

The call for enhanced financial literacy amongst consumers is a global phenomenon, driven by the growing complexity of financial markets and products, and government concerns about the affordability of supporting an ageing population. Worldwide, defined benefit pensions are giving way to the risk and uncertainty of defined contribution superannuation/pension funds where fund members now make choices and decisions that were once made on their behalf. An important prerequisite for informed financial decision‐making is adequate financial knowledge and skills to make competent investment decisions. This paper reports the findings of an online survey of the members of a large Australian public sector‐based superannuation fund and shows that although respondents generally understand basic financial matters, on average, their understanding of investments concepts, such as the relationship between risk and returns, is inadequate. These results highlight the need for education programs focusing specifically on developing fund members’ investment knowledge and skills to facilitate informed retirement savings decisions.     

Pension Benefit Security: A Comparison of Solvency Requirements,a Pension Guarantee Fund,and Sponsor Support

Developed countries apply different security mechanisms in regulation to protect pension benefits: solvency requirements, a pension guarantee fund (PGF), and sponsor support. We compare these mechanisms for a generalized form of hybrid pension schemes. We calculate the expected log return for the beneficiaries, the shortfall probability, that is, the likelihood of the pension payment falling below the promised level and the expected loss given shortfall. Comparing solvency requirements to a pension guarantee system or sponsor support involves trading off risk and return. Additional spending on default insurance reduces the shortfall probability and the expected loss given shortfall but also lowers the probability of high positive returns as are feasible under solvency requirements.     

Pension Funds’ Asset Allocation and Participant Age: A Test of the Life‐Cycle Model

This article examines the impact of participants’ age distribution on the asset allocation of Dutch pension funds, using a unique data set of pension fund investment plans for 2007. Theory predicts a negative effect of age on (strategic) equity exposures. We observe that a 1‐year higher average age in active participants leads to a significant and robust reduction of the strategic equity exposure by around 0.5 percentage point. Larger pension funds show a stronger age‐equity exposure effect. The average age of active participants influences investment behavior more strongly than the average age of all participants, which is plausible as retirees no longer possess any human capital.     

Excess Asset Reversions and Shareholder Wealth

The ownership of pension assets in a defined benefit pension plan is an unresolved issue in corporate finance. The issue is important because it defines the appropriate investment policy for a pension fund. In this paper, we summarize the ownership debate in the form of two mutually exclusive theories. We then focus on a recently popular event in pension finance, excess asset reversions. Our paper demonstrates the valuation effects associated with this event in a stochastic dominance framework. Under certain conditions, a reversion constitutes an expropriation of wealth from the participants and beneficiaries of the plan to the firm. Using data provided by the Pension Benefit Guaranty Corporation and the Center for Research in Security Prices tape, we examine the returns to the shareholders of 58 companies which conducted excess asset reversions between 1980 and 1984. Our results show that large abnormal returns accrued to these shareholders around the time of the reversion. These findings have implications both for the appropriate investment policy of pension funds and for public policy with respect to plan terminations.     

Optimal Number of Stock Holdings in Mutual Fund Portfolios Based on Market Performance

Among the decisions that most mutual fund portfolio managers make is the number of stocks to hold. We posit that there is an optimal number of stocks for each mutual fund, reflecting the trade‐off between diversification benefits versus transactions and monitoring costs. We find a significant quadratic relation between number of stock holdings and risk‐adjusted returns for U.S. equity mutual fund portfolios during 1992–2000. Moreover, we find that changes in the number of stocks held over time are more highly correlated with mutual fund flows than with funds' investment returns.     

Volatility‐Managed Portfolios

Managed portfolios that take less risk when volatility is high produce large alphas, increase Sharpe ratios, and produce large utility gains for mean‐variance investors. We document this for the market, value, momentum, profitability, return on equity, investment, and betting‐against‐beta factors, as well as the currency carry trade. Volatility timing increases Sharpe ratios because changes in volatility are not offset by proportional changes in expected returns. Our strategy is contrary to conventional wisdom because it takes relatively less risk in recessions. This rules out typical risk‐based explanations and is a challenge to structural models of time‐varying expected returns.     

Explaining persistence in mutual fund performance

This study investigates the determinants of persistence in mutual fund performance. Previous research that uses factor-mimicking portfolios and characteristic benchmarks to model fund performance fails to explain all the persistence in fund returns. This study employs a model that directly relates mutual fund returns to the characteristics of the stocks held by funds. Adjusting fund returns for the size of the stocks in which funds invest and financial ratios intended to capture fund manager investment styles explains all the persistence in mutual fund returns from 1976–1985, the period in which persistence is most prevalent.     

Performance comparison between exchange-traded funds and closed-end country funds

The objective of this study is to compare the risk and return performance of exchange-traded funds (ETFs) available for foreign markets and closed-end country funds. We utilize 29 closed-end country funds (CEFs) for 14 countries over the sample period from April 1996 to December 2001. The performance proxies are mean returns and risk-adjusted returns. Results indicate that ETFs exhibit higher mean returns and higher Sharpe ratios than foreign closed-end funds, while CEFs exhibit negative alphas. This indicates that a passive investment strategy utilizing ETFs may be superior to an active investment strategy using CEFs. The findings reported here offer some insight on the relative advantages of each type of investment. Specifically, there may be some potential for additional types of ETFs that offer higher risk-adjusted returns than closed-end funds. Such ETFs may be able to offer higher risk-adjusted returns as part of an internationally diversified portfolio.     

Pension Fund Manager Tournaments and Attitudes Towards Corporate Characteristics

Abstract:  This paper explores the relationship between the tournament incentives of pension fund managers and the characteristics of equities they choose to hold. Using a comprehensive data set on pension fund portfolio holdings, we determine the intensity of fund manager tournaments by sorting pension funds into portfolios based on the number of concurrent managers each pension fund employs. We then investigate which corporate characteristics are preferred by each of these portfolios by estimating share selection models that include a range of corporate characteristics that are expected to shape the returns to investment in stocks over the short and long run. We find that the intensity of the tournament faced by fund managers plays a significant role in shaping preferences over corporate characteristics. Managers facing more intense tournaments exhibit significantly weaker preferences for attributes associated with long run payoffs, such as social performance and growth potential, and significantly stronger preferences for short term attributes, such as operational efficiency, when compared to managers that face weak or no tournament incentives.     

Quantifying the Costs of Investment Limits for Chilean Pension Funds*

Since the creation of the Chilean pension fund industry in 1981, pension fund administrators have not been free to choose their investment portfolios because of stringent regulation of investment limits. The diagnosis implicit with the imposition of limits was that the Chilean capital market was not deep, that there was an important demand for funds to finance the expansion of the productive sector and that, due to principal‐agent problems, protection for uninformed account holders was needed. As this regulation entails an inefficient combination of risk and return, this paper quantifies its costs.     

Would emerging market pension funds benefit from international diversification: investigating wealth accumulations for pension participants

In recent years, investment portfolio selection is growing in importance for many emerging market pension funds, as pension reforms replace traditional pay-as-you-go systems with advanced funding systems. Various investment regulations are applied to the funded pensions, particularly in the form of portfolio limits for equities and international assets. With a bootstrap simulation approach, this paper attempts to quantify the impacts on retirement benefits of restricting international assets from the investment portfolios of emerging market pension funds. We find that, on average, over half of the pension portfolios of emerging market countries should be in international assets in order to maximize the expected utility of moderate and conservative pension fund participants. More generally, international assets can play a significant role in the investment portfolios for workers with risk aversion varying from aggressive to conservative. With few exceptions, the entire probability distribution of wealth accumulations at retirement could be shifted higher with the inclusion of international assets.     

Dynamic preferences for popular investment strategies in pension funds

In this paper, we characterize dynamic investment strategies that are consistent with the expected utility setting and more generally with the forward utility setting. Two popular dynamic strategies in the pension funds industry are used to illustrate our results: a constant proportion portfolio insurance (CPPI) strategy and a life-cycle strategy. For the CPPI strategy, we are able to infer preferences of the pension fund’s manager from her investment strategy, and to exhibit the specific expected utility maximization that makes this strategy optimal at any given time horizon. In the Black–Scholes market with deterministic parameters, we are able to show that traditional life-cycle funds are not optimal to any expected utility maximizers. We also prove that a CPPI strategy is optimal for a fund manager with HARA utility function, while an investor with a SAHARA utility function will choose a time-decreasing allocation to risky assets in the same spirit as the life-cycle funds strategy. Finally, we suggest how to modify these strategies if the financial market follows a more general diffusion process than in the Black–Scholes market.