年金基金投资理论与经验研究综述

年金基金的投资,在西方国家金融理论界和实践界是一个关注的研究问题。在理论研究上,税收套利模型和卖出期权的资产组合模型存在对立观点。而经验研究说明,年金基金的资产组合与资本市场发展阶段、监管规则、发起企业经营状况等密切相关。年金基金投资推动了免疫、条件免疫等投资技术以及衍生金融产品的发展。20世纪90年代以来西方国家出现了年金的自我投资、治理投资和社会投资等新问题。

Summary of Theoretical and Empirical Study on Corporate Pension Investment

The investment of pension fund is a research focus in western theoretical and practical fields.Tax arbitrage and the put-to-PBGC are two theoretical models,which created bond-equity-rebate on pension fund's investment.The empirical research illustrates that the portfolio of pension funds are intensely related with the supervision rules,the capital market development and the operation of sponsor company.The pension funds promoted the financial innovations in the capital markets including immunization,contingent immunization and derivatives.The self-investment,corporate governance investment and social investment are new phenomena in pension fund industry since 1990's.