我国社保基金委托投资管理费率研究

本文针对目前我国社保基金委托投资管理费率结构单一，不利于激励基金公司朝着投资者收益最大化的方向努力运作的问题，提出将费率划分为固定的和与业绩挂钩的两部分。同时，为了防止基金公司为获取更高的绩效管理费而吸收过度的积极风险，在费率设计的过程国引入了风险预算，结合我国证券市场的特点，提出了基于风险预算的我国社保基金投资管理费率设计方案。     

The influence of pension funds on corporate governance

Although pension funds have gained importance in the last two decades, their role has not been described in detail by economic models. This article focuses on the scope of these institutional investors when they are not satisfied with a management team of a company in which the pension fund holds a block of shares. Stock holdings by pension funds are largely dispersed. Therefore, any intervention by pension funds in corporate governance requires the formation of a coalition of pension funds. The realization of a coordinated intervention, in turn, is subject to the problems related to the provision of public goods, such as free riding. We find that the stock dispersion and the combined share of pension funds, coordination costs and the attractiveness of the exit option are relevant factors for determining the probability of the success of interventions.     

我国企业年金期权式管理费设计主张的效用分析

我国企业年金投资管理费制度是激励和约束投资管理人的重要因素.文章提出和设计了含有特定控制因素的期权式管理费制度,认为这种管理费制度可以使投资管理人和计划受益人的目标相一致,有利于敦促投资管理人自发控制年金基金的投资风险,并在此基础上提高年金基金的收益.这种期权式管理费制度设计,对于我国企业年金的健康发展具有重要意义.     

Improved Mutual Fund Investment Choice Architecture

Two choice architecture interventions were explored to debias investors' irrational preference for mutual funds with high past returns rather than funds with low fees. A simple choice task was used involving a direct trade-off between maximizing past returns and minimizing fees. In the first intervention, warning investors that “Some people invest based on past performance, but funds with low fees have the highest future results” was more effective than 3 other disclosure statements, including the U.S. financial regulator's, “Past performance does not guarantee future results.” The second intervention involved converting mutual fund annual percentage fees into a 10-year dollar cost equivalent. This intervention also improved investors' fee sensitivity, and remained effective even as past returns increased. Financially literate participants were surprisingly more likely to irrationally maximize past returns in their investment choices.     

Does past performance affect mutual fund tracking error in Taiwan?

This study examines the relationship between fund past performance and manager choice of portfolio risk in Taiwan. Employing the exponential generalized autoregressive conditional heteroscedasticity and linear regression models, the results demonstrate that historically poor average performance does not increase mutual fund tracking error (TE) or portfolio risk. Additionally, yearly tournament behaviour, namely mid-year losers increasing their last-half year TEs, only appears in funds with higher management fees. This implies that managers of high management fee funds actively increase TE in response to poor historical performance, to enable them to beat the market during future months or the second half of the year.     

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.     

中国社保基金转轨成本跨时分摊方案的宏观设计

本文在转轨经济背景下,分析了中国社保基金从DB制向DC制转轨的基本思路,并以此为基础,从宏观的角度设计出社保基金转轨成本的跨时分摊方案。这一分摊方案包含三方面基本内容:一是外部分账管理,即统筹基金和个人账户基金分账管理。二是内部分账管理,即将个人账户分解为普通账户和特别账户。三是跨时分摊计划,以临界投资收益率为界,给出不同投资收益率区间内特别账户与制度外筹资的分摊总额和年均分摊额。     

The adequacy of investment choices offered by 401(k) plans

The choices made by 401(k) participants are the product of two different decisions: what is offered and what is chosen. While there have been a number of studies of the decisions made by participants in 401(k) plans, there have been no studies of the adequacy of the full set of choices offered to 401(k) participants. This paper analyzes the adequacy and characteristics of the choices offered to 401(k)-plan participants for over 400 plans. We find that only 53% of the plans offer an adequate set of options and that over a 20-year period offering inadequate options makes a difference in terminal wealth of over 53%. We find that funds included in the plans are riskier, but have a slightly higher return, than the general population of funds in the same categories. However, we find that the return difference is roughly equal to the difference in expenses between funds selected by plans and randomly selected funds. We study the characteristics of plans that are associated with adequate investment choices, including an analysis of the use of company stock, plan size, and the use of sophisticated strategies.     

资金集中控制模式探讨

为了应对国际市场的冲击和挑战,集团公司加强和完善企业的资金管理成为当前经济工作中的一项重要任务。有效的财务管理,是企业高效运营的基础。目前,中国石化集团公司建立财务中心,集中管理公司的所有资金结算,将公司的财务集中化,使公司的财务管理构架发生了质的变化。     

Contingency Fees, Settlement Delay, and Low-Quality Litigation: Empirical Evidence from Two Datasets

Although flat fees are common for divorces, wills and trusts,and probate, lawyers in personal injury cases generally arepaid by contingency fee or at an hourly rate. Arguments havebeen made that contingency fees increase low-quality, "frivolous"litigation but counterarguments suggest that contingency feesactually limit such litigation and instead it is hourly feesthat increase low-quality litigation. Using a difference indifferences test and data on a cross section of states in 1992,we test whether legal quality is lower under contingency orhourly fees. We also examine medical malpractice claims in Floridausing a time series centered around a law change that limitedcontingency fees. We also examine the impact of fee arrangementson the expected time to settlement. We find that hourly feesencourage the filing of low-quality suits and increase the timeto settlement (i.e., contingency fees increase legal qualityand decrease the time to settlement).     

Diversification Bias and the Law of One Price: An Experiment on Index Mutual Funds

Individual investors select high-fee index mutual funds despite the fact that the future payouts are nearly identical. The authors offer an explanation for this violation of the law of one price based on investor desire to diversify. While diversification in some settings may be beneficial, in the case of assets with identical payouts, fee minimization is the only rational strategy. The evidence confirms that investors diversify by selecting multiple higher fee funds rather than minimizing fees when investing in index mutual funds.     

The Design of Pension Pay Out Options When the Health Status during Retirement Is Uncertain

This paper examines the optimal design of pension plans when the health status during retirement is uncertain. Assuming that the health status affects both life expectancy and the marginal utility of consumption, choice between a lump-sum payment and an annuity can be welfare-enhancing if the health status is not observable by pension plan providers. This result holds if the marginal utility of consumption and life expectancy are negatively correlated. On equity grounds, a lump-sum option can be justified even if the marginal utility of consumption is independent of life expectancy.     

企业年金基金管理费模型的优化选择

在分析现有模型基础上研究并设计适合企业年金的管理费优化模型,该模型更加注重基金资产的安全性,解决了目前企业年金基金管理中的风险不对等问题,基金管理人将更加注重企业年金追求本金安全及长期稳健增值的目标,使企业年金资产的安全性得到较大保障,该模型亦可推广到所有追求长期安全增值以绝对收益为目标的基金使用。     

我国高校科研经费投入与科研进程关系实证研究

基于我国1997-2015年高校自然科学研究经费数据，采用面板固定效应模型，对我国高校科研经费投入与科研进程的关系进行实证研究，检验我国高校科研经费投入与科研进程的经验认识和发展逻辑。结果表明，我国高校科研经费来源结构仍以政府支持型纵向科研经费为主，纵向科研经费对于推进科研进程发挥着重要作用;社会支持型横向科研经费虽然发挥着较为重要的作用，但其支持力度有待加强。由于我国高校科研经费投入效率低下，虽然高校科研业务费投入具有正向作用，但其贡献度不尽人意，人均劳务费投入并不能较好地推动我国高校科研发展。我国高校科研经费改革是行之有效的，科研业务费投入趋于合理化，劳务费投入对高校科研进程推进的负向作用得到了有效收敛。     

National culture and the configuration of public pensions

This paper explores the determinants of public pension plan configurations. It is argued that the level of intragenerational redistribution in public pension plans is related to a country's cultural background. The level of intragenerational redistribution is measured by Krieger and Traub's Bismarckian factor. The countries’ cultural background is operationalized using cultural dimensions developed by Hofstede. The empirical results are in line with our hypotheses. Uncertainty avoidance appears to have a significant, positive association with the Bismarckian factor (low intragenerational redistribution in public pensions), whereas the relation with individualism is negative (high intragenerational redistribution). Moreover, a positive association is found between the Bismarckian factor and inflation shocks in the first half of the 20th century. While the sample size is limited, the results are robust to the inclusion of different economic, institutional, and demographic control variables as well as to using alternative model specifications. These findings have important public policy implications. We argue that pension reform proposals suggesting a transformation of public to private pension provision should consider the cultural background of countries.     

Pension Fund Herding and the Influence of Management Style

In this article, we study the herding phenomenon in Spanish equity pension funds with European investment locations from 2002 to 2012, considering whether the development of different investment strategies by the managers results in herding. In addition, we analyze the performance-herding relationship, observing whether pension fund performance decreases or increases when pension funds herd. Using the herding measure of Lakonishok et al. [1992], we do not find strong imitation behavior, although herding in the market and book-to-market styles are higher. Those pension funds that do not herd or that follow distinctive strategies do not present significant differences in performance with respect to herding funds.     

Improving emergency plans management with SAGA

Emergency plans are the tangible result of the preparedness activities of the emergency management lifecycle. In many countries, public service organizations have the legal obligation to develop and maintain emergency plans covering all possible hazards relative to their areas of operation. However, little support is provided to planners in the development and use of plans. Often, advances in software technology have not been exploited, and plans remain as text documents whose accessibility is very limited. In this paper, we advocate for the definition and implementation of plan management processes as the first step to better produce and manage emergency plans. The main contribution of our work is to raise the need for IT-enabled planning environments, either at the national or organization-specific levels, which can lead to more uniform plans that are easier to evaluate and share, with support to stakeholders other than responders, among other advantages. To illustrate our proposal, we introduce SAGA, a framework that supports the full lifecycle of emergency plan management. SAGA provides all the actors involved in plan management with a number of tools to support all the stages of the plan lifecycle. We outline the architecture of the system, and show with a case study how planning processes can benefit from a system like SAGA.     

Fiduciary responsibility and potential liabilities in health care cost management

This article addresses the key legal issues facing ERISA welfare plan fiduciaries in health care cost management and explores the current status of a number of fiduciary obligations particularly relevant to welfare plan trustees. The authors discuss the fiduciary issues raised by the selection of a health care delivery system, plan design decision making and provider discount arrangements with health plans, and provide suggestion for administering reimbursements for health care costs from third party recoveries and addressing provider fraud.     

基于公共清算所的个人账户养老基金管理模式研究

在分析个人账户基金管理的委托人职责缺失、管理效率低下、基金保值增值难等问题的基础上.通过对个人账户管理模式和投资决策模式的分析,以及结合产权理论与委托代理理论,构建一种新的个人账户基金管理模式,即公私结合管理模式——中央层面成立公共清算机构负责基金管理,在旗下成立多家个人账户基金投资公司,负责个人账户基金的投资运营.这对养老基金的保值增值以及养老金制度的可持续发展都具有深远意义.     

我国新型农村养老保险对财政体系可持续性的影响研究——基于代际核算方法的模拟分析

文章利用Auerbach等(1991)提出的代际核算方法,基于符合国情的参数假设,分析了各种"新农保"方案对财政体系可持续性的影响。模拟结果表明,按照目前方案建立"新农保"体系并不会给政府增加太多负担,"新农保"覆盖面扩大的快慢对财政体系的负担基本也没有影响。由于个人账户中积累的资金目前按照一年期定期存款计息,政府承担的个人账户长寿风险非常有限。"新农保"体系带给政府的主要财政负担来自全额负担基础养老金,如果政府把全国的基础养老金都提高至上海市每月135元的水平,给政府增加的负担不会过多。因此,政府可以加快"新农保"覆盖面扩大的速度,并在现有的财力水平下把全国农村的基础养老金都提高至上海市的水平,但是提高幅度不宜进一步加大。