Herding in the strategic allocations of Spanish pension plan managers

This paper empirically examines herding behavior in the strategic style allocations of Spanish pension plan managers. The study uses both the standard metric used in financial literature to capture institutional herding and a new approach to address some shortcomings of this traditional measure. Concretely, some authors have highlighted that the traditional measure does not take into account that the probability that a manager buys rather than sells a certain stock depends on both the initial holding in the stock and the asset flows. As a consequence, this study proposes a new approach, which can be applied to other financial markets and provides more accurate values of the probability to increase (or decrease) the style exposures bearing in mind the previous exposure of each portfolio. The study confirms the existence of herding behavior by using both methods. Although the strength of this behavior decreases using the new approach, the herding levels detected in this study of style herding of Spanish pension plans are higher than those of previous research analyzing portfolio holdings in other countries. Additionally, herding levels are higher in periods of low volatility while market returns does not seem to influence herding levels.     

我国养老基金投资的财务分析

养老基金在资本市场中的投资回报是养老基金增值的唯一途径,如何投资运营养老基金是养老金计划中最重要的财务决策。随着我国人口老龄化程度的提高,养老基金的支出压力越来越大。为此,有必要对我国养老基金的投资现状进行分析,探寻提高我国养老基金运作效率的方法和途径,真正实现养老基金的保值增值。     

European Pension Funds and Sustainable Development: Trade‐Offs between Finance and Responsibility

Pension funds try to account for sustainable development in their operations. This mainly translates in responsible investing. We investigate how this interacts with the financial objectives. We use a survey of more than 250 pension funds based in 15 European countries. Multinomial logistic regression is used to find out how pension funds trade off sustainable development and financial objectives. Our findings suggest that pension funds that have not included responsibility in their strategy and investments have a clear priority regarding their financial performance. Pension funds who integrate sustainable development in their strategy can bring balance between finance and responsibility. Copyright © 2017 John Wiley & Sons, Ltd and ERP Environment     

Growth Opportunities,Stockholders' Claim/Liability on Pension Plans,and Corporate Pension Policies

In this study, I derive the value of stockholders' claim on a pension surplus and stockholders' liability for a pension deficit in the post‐Employee Retirement Income Security Act regulatory environment. Based on that valuation, I develop a model of corporate pension policies in which sponsoring firms weigh contributions to their pension plan against the exercise of growth options in the allocation of limited financial resources. The model shows how corporate pension funding and asset allocation policies are shaped by the sponsoring firms' characteristics, such as growth options, the marginal corporate tax rate, and regulatory variables such as the deficit reduction contribution rate, the variable‐rate insurance premium, and the maximum possible fraction of operating assets that can be seized by the Pension Benefit Guaranty Corporation. I discuss policy and empirical implications of the theoretical results. Copyright © 2016 John Wiley & Sons, Ltd.     

社会养老保险财务机制的分析与选择

本文对社会养老保险财务机制的基本原理和理论进行了介绍和分析,并结合我国社会养老保险实际,对现行的社会养老保险财务机制进行了剖析,并对近期与远期的社会养老保险财务机制的选择提出了建议。     

Measuring the Benefits of Homeowning: Effects on Children

In this paper we examine whether homeowning benefits children by testing whether children of homeowners stay in school longer than children of renters and whether daughters of homeowners are less likely to have children as teenagers than daughters of renters. We use both probit models and a bivariate probit technique which takes account of possible selection bias due to differences between parents who choose to own versus rent. We find in several data sets that both effects are statistically significant and quantitatively important—particularly for low-income households. We also estimate that the dollar benefit per low- income household of parents being homeowners rather than renters is at least $31,000.     

Econometric methods for fractional response variables with an application to 401(k) plan participation rates

We develop attractive functional forms and simple quasi-likelihood estimation methods for regression models with a fractional dependent variable. Compared with log-odds type procedures, there is no difficulty in recovering the regression function for the fractional variable, and there is no need to use ad hoc transformations to handle data at the extreme values of zero and one. We also offer some new, robust specification tests by nesting the logit or probit function in a more general functional form. We apply these methods to a data set of employee participation rates in 401(k) pension plans.     

A Markov Switching Factor‐Augmented VAR Model for Analyzing US Business Cycles and Monetary Policy

This paper develops a Markov switching factor‐augmented vector autoregression to investigate the transmission mechanisms of monetary policy for distinct stages of the US business cycle. We assume that autoregressive parameters and covariance matrices of the error terms are regime dependent, driven by an unobserved Markov indicator. Endogenously determined transition probabilities are governed by an underlying probit model that features a large set of possible predictors. The empirical findings provide evidence for differences in the transmission of monetary policy shocks that mainly stem from heterogeneity in the responses of financial market quantities.     

随机利率下缴费预定计划职业年金的替代率研究

事业单位养老保险制度改革关系到我国基本养老保险制度的改革进程和可持续发展问题,而面对事业单位养老金替代率90％,企业单位替代率60％的差距,事业单位养老保险制度改革遇到了一定的阻力．本文考察了如果采用缴费预定计划（Dc计划）建立职业年金,事业单位养老保险的替代率问题．养老金的投资收益率是影响替代率的关键因素,而这一因素受金融市场影响较大,这里假设它为随机变量。研究发现：（1）由于女性职工的法定退休年龄早,平均寿命又比较长,对于相同的缴费率,男性的养老金替代率明显高于女性的替代率;（2）缴费率是影响替代率的另一因素,为了保持较为合理的替代率,实现养老保险制度的平稳改革,我们建议合适的缴费率为11%。     

Predicting recessions with a composite real-time dynamic probit model

In this paper we propose a composite indicator for real-time recession forecasting based on alternative dynamic probit models. For this purpose, we use a large set of monthly macroeconomic and financial leading indicators from the German and US economies. Alternative dynamic probit regressions are specified through automated general-to-specific and specific-to-general lag selection procedures on the basis of slightly different initial sets. The resulting recession probability forecasts are then combined in order to decrease the volatility of the forecast errors and increase their forecasting accuracy. This procedure features not only good in-sample forecast statistics, but also good out-of-sample performances, as is illustrated using a real-time evaluation exercise.     

Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners

A defined contribution pension plan allows consumption to be redistributed from the plan member's working life to retirement in a manner that is consistent with the member's personal preferences. The plan's optimal funding and investment strategies therefore depend on the desired profile of consumption over the lifetime of the member. We investigate these strategies under the assumption that the member is a rational life cycle financial planner and has an Epstein–Zin utility function, which allows a separation between risk aversion and the elasticity of intertemporal substitution. We also take into account the member's human capital during the accumulation phase of the plan and we allow the annuitisation decision to be endogenously determined during the decumulation phase.We show that the optimal funding strategy involves a contribution rate that is not constant over the life of the plan but is age-dependent and reflects the trade-off between the desire for current versus future consumption, the desire for stable consumption over time, the member's attitude to risk, and changes in the level of human capital over the life cycle. We also show that the optimal investment strategy during the accumulation phase of the plan is ‘stochastic lifestyling’, with an initial high weight in equity-type investments and a gradual switch into bond-type investments as the retirement date approaches in a way that depends on the realised outcomes for the stochastic processes driving the state variables. The optimal investment strategy during the decumulation phase of the plan is to exchange the bonds held at retirement for life annuities and then to gradually sell the remaining equities and buy more annuities, i.e., a strategy known as ‘phased annuitisation’.     

Understanding pension communications at the organizational level: Insights from bounded rationality theory & implications for HRM

This paper applies concepts from bounded rationality theory to develop an integrative model to understand how pension scheme structure and pension scheme communication impact pension participation and contribution rates at organizational level. Organizational pension policies create framing effects that can have intended and unintended consequences depending on how they impact on employees' cognitive processes. Organizational pension communication policy impacts employee pension outcomes through the interaction between fast-acting, automatic System 1 and deliberative, calculating System 2 that typically endorses and occasionally overrides System 1 judgments. System 1 exhibits mental short-cuts (heuristics) and systematic biases. The likelihood of a System 2 challenge to System 1 depends on the personal, socio-demographic and economic characteristics of the individuals within the workforce. We propose that those within the HR function, who understand framing effects, can develop pension policies that positively affect pension plan outcomes at the organization level, specifically the pension participation and average contribution rates, using a combination of policies that in some cases promote System 2 endorsement and in other cases, System 2 engagement.     

Alternative Approaches to Multilevel Modelling of Survey Non‐Contact and Refusal

We review three alternative approaches to modelling survey non‐contact and refusal: multinomial, sequential, and sample selection (bivariate probit) models. We then propose a multilevel extension of the sample selection model to allow for both interviewer effects and dependency between non‐contact and refusal rates at the household and interviewer level. All methods are applied and compared in an analysis of household non‐response in the United Kingdom, using a data set with unusually rich information on both respondents and non‐respondents from six major surveys. After controlling for household characteristics, there is little evidence of residual correlation between the unobserved characteristics affecting non‐contact and refusal propensities at either the household or the interviewer level. We also find that the estimated coefficients of the multinomial and sequential models are surprisingly similar, which further investigation via a simulation study suggests is due to non‐contact and refusal having largely different predictors.     

Default rates in the loan market for SMEs: Evidence from Slovakia

Financial markets in emerging economies are often perceived as more risky than those in developed countries. We investigate whether this is true for loans to SMEs using a unique unbalanced panel of nearly 700 loans made to SMEs in Slovakia between 2000 and 2005. Several probit and panel probit models show that liquidity and profitability factors are important determinants of SME defaults. Moreover, we find that indebtedness significantly increases the probability of default. Liability as proxied by the legal form of SMEs has important incentive effects. Finally, there exist significant differences between sectors. We show that default rates and factors converged to values found in developed financial markets.     

年金会计相关问题研究

本文对企业年金的性质和年金会计主体进行了界定,认为年金的会计处理应建立在劳动报酬观的基础上,并以企业和年金基金为双重主体进行会计核算。在此基础上,讨论了西方企业年金会计准则对缴费确定型计划和待遇确定型计划的会计处理方法及其信息披露,同时对我国企业年金会计准则的相关内容进行了比较说明,并对如何完善我国企业年金会计的发展提出了建议。     

Unemployment and liquidity constraints

We present a dynamic framework for the interaction between borrowing (liquidity) constraints and deviations of actual hours from desired hours, both measured by discrete‐valued indicators, and estimate it as a system of dynamic binary and ordered probit models with panel data from the Panel Study of Income Dynamics. We analyze a household's propensity to be liquidity constrained by means of a dynamic binary probit model. We analyze qualitative aspects of the conditions of employment, namely whether the household head is involuntarily overemployed, voluntarily employed, or involuntarily underemployed or unemployed, by means of a dynamic ordered probit model. We focus on the possible interaction between the two types of constraints. We estimate these models jointly using maximum simulated likelihood, where we allow for individual random effects along with an autoregressive process for the general error term in each equation. A novel feature of our method is that it allows for the random effects to be correlated with regressors in a time‐invariant fashion. Our results provide strong support for the basic theory of constrained behavior and the interaction between liquidity constraints and exogenous constraints on labor supply. Copyright © 2007 John Wiley & Sons, Ltd.     

A decentralized and informationally efficient mechanism realizing fair outcomes in economies with public goods

We present a decentralized mechanism (called Lindahl Egalitarian), which yields Pareto efficient and envy free allocations (i.e. fair outcomes). We show that the mechanism is informationally efficient in general production economies with an arbitrary, but finite, number of private and public goods, and a finite number of agents. The mechanism reduces to the Walrasian mechanism starting from equal wealth when no agent cares about public goods. We also prove that the set of Public Competitive equilibrium allocations (from equal endowments and proportional taxation), and the set of the Lindahl Egalitarian equilibrium allocations are the same. We are grateful to Xavier Calsamiglia and Albert Marcet for helpful conversations, and to A. de la Fuente, I. Macho, and an anonimous referee for useful suggestions. A. Manresa’s research has been supported by the grant CICYT PB90-0172. J. Aizpurua acknowledges financial support from the Government of Navarra.     

Higher moment exchange rate exposure of S&P500 firms

We examine the impact of higher order moments of changes in the exchange rate on stock returns of U.S. large-cap companies in the S&P500. We find a robust negative effect of exchange rate volatility on S&P500 company returns. The consumer discretionary and the consumer staples sectors have significant negative exposure to exchange rate volatility suggesting that exchange rate volatility affects stock returns through the channel of international operations. In terms of industries, the household products and personal products industries have significant negative exposure as well. The impact in the financial sector suggests that derivatives and hedging activity can mitigate exposure to exchange rate volatility. We find weak evidence that exchange rate skewness has an effect on S&P500 stock returns, but, find evidence that exchange rate kurtosis affects returns of companies that are more exposed to exchange rate volatility.     

邮储银行养老金融业务发展策略研究

人口老龄化引起了我国政府的重视和关注,老龄化社会催生了我国养老金融事业的发展,同时,也为我国银行业带来了新的发展机遇。传统银行以产品为核心的工作形式逐渐向以客户为中心转变,养老金融业务的有效开展,能够促使银行形成独特的品牌效应,实现客户资源整合,通过资源共享助力商业银行经营形式的转变。论文以邮储银行养老金融业务的发展为主要内容,探索在老龄化社会的外部环境下银行发展的新途径。     

The impact of public pension board of trustee composition on state bond ratings

The declining financial health of public pension systems is increasingly becoming a budgetary concern for many state and local governments. While the academic literature has identified several factors behind the growth in unfunded state and local public pension liabilities, there is mixed evidence on how the composition of a pension system’s board of trustees affects a pension’s financial health. This article contributes to this literature by measuring how public pension board composition affects fund financial health as measured by state bond ratings. With a panel dataset of state pensions between 2001 and 2014 our results indicate that elected board members are consistently associated with lower bond ratings (and thus higher borrowing costs) while appointed and ex-officio board members are associated with higher bond ratings. These results are robust to a number of specifications.