浅析国外基金业的资产配置情况

通过介绍美国、日本及我国港台地区基金业资产配置的情况,本文分析了各国及地区基金业相关法律法规,从市场和制度两个方面对基金业发达国家及地区进行剖析。在展现其它地区基金业资产配置之后,期能对我国基金业的资产配置有些启示。     

国外职业年金的运作模式选择

目前世界各国的职业年金计划运作模式主要有给付确定型计划和缴费确定型计划两种.针对两种职业年金计划运作模式,结合英国、波兰和美国的职业年金改革实践,从受益者角度看,两种制度各有利弊.缴费确定型计划近年来在各国迅速取代给付确定型计划模式,而中国的企业年金计划则选择基金制的缴费确定型计划运作模式.     

The decision to seek advice in the self-directed retirement fund industry

This article examines the influence of investor knowledge and the cognitive bias that arises from overconfidence on the advice-seeking behaviour of investors managing their own retirement funds. Specifically, we trace whether overestimating one’s own technical and financial abilities can hinder the willingness to seek advice, particularly when it would be in the investors’ best interest to do so. We identify a subset of investors who are not knowledgeable and yet do not seek advice. These investors exhibit overconfidence in their ability to manage a fund, despite holding under-diversified and less sophisticated portfolios relative to their peers. Given the global rise in investors choosing to manage their own retirement funds and the importance of seeking advice in this context, there are direct policy implications from these results. They suggest a need to identify and target investors who display overconfidence since they are most likely to be managing underperforming retirement investments in the longer term.     

X-efficiency and economies of scale in pension fund administration and investment

Pension funds’ operating costs impair pension benefits, so it is crucial for pension funds to operate at the lowest cost possible. In practice, we observe substantial differences in costs per member for Dutch pension funds, both across and within pension fund size classes. This article presents new estimates of scale economies of pension funds and is the first that also measures pension fund X-inefficiency. We use a unique supervisory data set which distinguishes between administrative and investment costs and apply various approaches and models. Our estimates show large economies of scale for pension fund administrations, but modest diseconomies of scale for investment activities. We also found that many pension funds have substantial X-inefficiencies for both administrative and investment activities. The two kinds of inefficiency differ across types of pension funds. Therefore, most pension funds should be able to improve their cost performance, and hence increase pension benefits.     

Pension funds' allocations to hedge funds: an empirical analysis of US and Canadian defined benefit plans

This article investigates the characteristics of US and Canadian pension funds that allocate assets to hedge funds. The typical pension fund that invests in hedge funds is a large sophisticated pension fund that diversifies its portfolio across numerous classes of investments, private equity in particular, uses a core-satellite organization and has access to low delegation costs for alternative assets. Moreover, we find that pension funds investing in hedge funds significantly obtained higher global returns.     

财富异质性对家庭金融资产配置的影响研究 ——基于 2015 年中国社会综合调查数据

随着我国家庭金融市场日渐完善,家庭金融资产配置的影响因素对优化家庭金融资产配置结构和提高家庭金融市场的参与率至关重要.本文从家庭财富角度出发,利用2015年中国综合社会调查数据里的9841个样本数据,运用logit模型,实证分析财富异质性对家庭金融资产配置的影响及其城乡差异.研究发现:财富水平不同的家庭,其金融资产配置存在显著差异,富裕家庭参与风险性金融市场的可能性更大,但当家庭财富累积到一定程度之后财富水平对家庭参与风险性金融市场的影响程度开始递减;城市相比于农村更有可能参与风险性金融市场,并且,在财富异质性对家庭金融资产配置的影响中,金融发展水平、被采访者的年龄和家庭规模大小等发挥着异质性作用.     

An increase in the retirement age in China: the regional economic effects

China’s pension system is in need of comprehensive reform. One measure on which we focus is to increase the retirement age. It is likely that a change in retirement age will have significantly different effects across China’s regions. Interregional disparities are already very substantial in China and it will be important to know how changes in pension arrangements will affect disparities. We consider four policies to increase the retirement age from 60 to 61. They differ according the use made of the extra revenue generated by the policy. All four policies increase welfare and reduce the interregional welfare gap.     

养老基金最低收益保证制度下的最优资产配置——来自中国1998-2008年数据的模拟分析

文章主要研究养老基金最低收益保证制度及其框架下的资产配置问题.利用鞅方法创新性地给出了最优资产配置策略,随后分析了最低收益保证制度对最优资产配置的影响.结果表明,外部机构的利润分享比例越大,保证额度越高,养老基金投资风险资产的比例越高,但随着时间的推移,其风险投资将逐步降低.最后,文章利用所得结论为我国设立最低收益保证制度提供了建议:即我国应设立相对额度的最低收益保证制度;应由政府部门或非盈利机构提供这种最低收益保证,且不宜采取利润分享原则;保证额度应适度,过高会导致养老基金的投资风险过高,而过低则达不到稳定退休者收入的效果.     

A portfolio approach to the optimal mix of funded and unfunded pensions

ABSTRACT

In this paper, we address the optimal funding of pensions by means of portfolio choice approach. Considering the unfunded (Paygo) pension system as a ‘quasi-asset’ with hedging and diversification properties, we derive the optimal portfolio mix of funded and Paygo systems within a mean variance and Bell linear exponential models. Our analysis involves both analytical computations and empirical estimations of optimal values using real long-term data for equity, bonds and the Paygo asset for several OECD countries and several time periods covering the time span 1897–2016. We find that in most cases a mix of both systems is desirable with a larger magnitude of Paygo system in the case of the Bell framework as we capture attitudes towards asymmetry and tail risks that are typical to equity markets.     

城镇职工养老保险基金缺口问题研究

城镇职工养老保险制度转轨的历史债务是城镇职工养老保险金缺口形成的直接原因。人口老龄化背景下领取养老保险金的人数不断增加,而养老保险金保值增值能力又不强,再加上通货膨胀的影响,使养老保险基金缺口问题一直难以解决。因此,通过对养老保险基金缺口现状及原因的分析,以探讨解决缺口问题的方法。     

上市公司大股东控制下的资本配置行为研究——基于控制权收益视角的实证分析

基于控制权收益①驱动公司资本配置行为的理论阐释,结合我国上市公司特有的股权结构及其导致的控制权分配格局,文章从固定资产投资和股权投资两个方面,对形成我国上市公司控制权收益的资本配置行为进行了实证研究。研究结果表明:(1)控制权收益水平与资本配置规模显著正相关;(2)控制权收益水平越高,则增加等量控制权收益所需的资本配置规模就越大;(3)较固定资产投资而言,通过股权并购方式取得控制权收益的代价较低,但控制性股东占有被并购公司控制权收益的比例也较低;(4)上市公司资本配置行为在形成控制权收益的同时并没有通过提高公司业绩而增加控制权的共享收益,资本配置决策在很大程度上是大股东控制下的自利行为。     

Luck versus skill over time: time-varying performance in the cross-section of mutual fund returns

ABSTRACT

Using returns histories spanning January 1984 to October 2014 of 5785 actively managed US closed-end equity mutual funds, we address the ‘thorny problems’ highlighted by Fama and French (The Journal of Finance, 2010, vol. 65, p. 1925) that arise due to their resampling procedure. This prevents them from capturing time variation in the parameters of equilibrium asset pricing models. These problems are addressed by combining innovative procedures which allow for testing of multiple break dates on fund-specific parameters along with cross-section bootstraps that remain valid in the presence of time-varying parameters. We find that substantial proportion – 8% – of the estimated versions of the asset pricing model have significant changes in their parameters. The effects of this time variation on the cross-section distribution of the risk-adjusted performance measure are significant and substantially increase centiles of the right tail of this distribution when compared to those produced without time-varying parameters. Our evidence regarding the lack of actively managed US equity mutual funds that generate excess returns is significantly weaker than those of Fama and French but our results do not overturn their pessimistic conclusion regarding the lack of skilled managers. We do find, unlike Fama and French, that managers generating negative returns are just unlucky but have no skill.     

知识异质性与知识创新绩效的关系研究

在界定知识异质性和知识创新绩效概念的基础上,基于相关研究文献,提出了知识异质性与知识创新绩效的关系假设,以企业研发团队为例,通过对有研发团队工作经验的142名员工进行问卷调查,并对获得的有关数据进行了分析。研究结果显示:团队成员的教育背景异质性对知识创新绩效产生负面影响;知识技能与职业经验异质性对研发团队知识创新绩效均有积极显著影响,藉此进行了实证分析,进而提出了对策建议。     

异质性知识团队协同效能评价研究

针对异质性知识团队协同效能评价的问题,首先界定了异质性知识团队和团队协同效能的概念,并对异质性知识团队协同效能的特点进行了深入研究;然后,运用Dephi法对团队协同效能一级评价指标进行研究,得出5个一级指标:成果数量和质量、成员协作满意度、能力提升度、团队未来生存力、经费使用合理性;最后设计出团队协同效能的二级评价指标。     

The optimal control of emissions and renewable resource harvesting under uncertainty

A model of a renewable resource is developed where the growth and quality of the resource are reduced by pollution. Ambient pollution concentrations and the renewable resource stock are modeled as stochastic processes. Conditions for the optimal harvest plan and the optimal emissions rate are derived. The effect of stochastic variations on the optimal management of the resource is analyzed. The steady-state joint probability distribution of the resource and pollution stocks is shown to exist under certain conditions.     

中国企业职工养老保险替代率的实证研究——基于缴费确定型企业年金与基本养老金的对比分析

替代率是企业养老保险方案设计的关键参数,也是政府制定社会养老决策的关键因素之一.企业年金是多支柱养老保险体系的重要组成部分,关系到中国未来养老体系的健康发展.对养老保险替代率的研究发现,基本养老镏金与企业年金对参与人的经济影响并不确定,因此,制定养老金政策须考虑相关的限制条件,政策倾向应有所差异和侧重,以保证政策目标的实现.     

资产配置分析中风险度量工具发展研究

现代金融市场的迅猛发展,使全球金融市场联动性增强,同时也使得市场风险成为金融机构和投资者面临的主要风险,20世纪90年代以来发生的一些金融灾难性事件使得人们越发意识到风险管理的重要性。因此,从投资组合理论开始梳理资产配置分析中的风险度量工具。     

基于下偏方差的机构投资者金融资产配置问题研究

机构投资者对于资本市场理性投资理念的形成具有重要推动作用,但在目前制度安排下,机构投资者出现了非理性投资行为,导致了资产配置失效。为了提高资产配置效率,引入下偏方差理念,并在该分析框架下构建机构投资者的资产配置模型,该模型为机构投资者在风险证券上的资金配置提供理论指导。同时根据下偏方差的资产配置结论提出规范化机构投资者资产配置的政策建议。     

技术异质性与大学知识创新效率评价研究

为了全面发展大学知识创新能力,为地区经济发展提供动力,有必要深入探索我国省区大学知识创新效率水平,缩小大学知识创新能力差异。基于技术异质性视角,利用2005-2013年大学统计资料,结合BCC模型和Meta-frontier效率函数,对中国内地30个省区（东中西三大区域）大学的知识创新效率进行测度与分析。结果发现：仅用BCC模型测算时,知识创新效率呈西部、东部、中部排列。考虑技术异质性,加入共同边界效率函数分析时,共同技术比率呈东部、中部、西部排列,而东部地区更接近知识创新共同技术生产边界。未来应提高东部大学资源利用效率,加大对中西部大学的科研资源和技术输入,以便统筹全国知识创新效率和谐发展。     

The effects of recent Spanish pension reforms on sustainability and pension adequacy

The Spanish pension system has been recently reformed as a response to the demographic challenge and with the objective of ensuring the sustainability of the pension system in the long-term. The overall reforms include changes in the majority of the system parameters, a new indexation rule and a sustainability factor that links life expectancy and the first pension amount. The aim of this work is to analyse how these reforms affect two important features of a pension system: fiscal sustainability and adequacy. For this purpose, the real internal rate of return (IRR) of the lifetime contributions and benefits and the prospective gross theoretical replacement rate (TRR), both before and after the reforms, have been computed. The calculations are case-study based, for a few hypothetical workers who are sufficiently representative of the earnings and retirement patterns in Spain. The results show that the real IRR is 0.7 p.p. lower and the prospective gross TRR is 18 p.p. lower after the reform process for the base case of a man with an uninterrupted career of 40 years with average earnings and a retirement age of 65. In addition, pension reform process in Spain has different effects among the individuals depending on the gender, level of earnings, retirement age and career length.