Netspar Research Paper Series最新文献

{"title":"Asset Allocation Dynamics of Pension Funds","authors":"D. Bams, P. Schotman, Mukul Tyagi","doi":"10.2139/ssrn.2766491","DOIUrl":"https://doi.org/10.2139/ssrn.2766491","url":null,"abstract":"How does portfolio of long-term investors like pension funds change relative to the stated strategic portfolio? We investigate their portfolio dynamics using an international database that spans over 20 years and focus on portfolio rebalancing. We find that a significant proportion of the change in the weight of equity is related to passive change in portfolio due to realized equity returns. Moreover, pension funds follow asymmetric rebalancing, they rebalance poorly when stock market is doing well but rebalance strongly when stock market is doing poorly. Actual change in equity portfolio only partially reflects strategic changes. We also study cross-sectional differences in rebalancing. The results indicate that US and defined benefit pension funds rebalance less. Moreover, external managers and active managers can be identified as the major source of poor rebalancing. Lastly, between asset classes, pension fund are more passive in alternative investments.","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116918845","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Linear Factor Models and the Estimation of Expected Returns","authors":"Cisil Sarisoy, Peter de Goeij, B. Werker","doi":"10.2139/ssrn.2766515","DOIUrl":"https://doi.org/10.2139/ssrn.2766515","url":null,"abstract":"Linear factor models of asset pricing imply a linear relationship between expected returns of assets and exposures to one or more sources of risk. We show that exploiting this linear relationship leads to statistical gains of up to 31% in variances when estimating expected returns on individual assets over historical averages. When the factors are weakly correlated with assets, i.e. β's are small, and the interest is in estimating expected excess returns, that is risk premiums, on individual assets rather than the prices of risk, the Generalized Method of Moment estimators of risk premiums does lead to reliable inference, i.e. limiting variances suffer from neither lack of identification nor unboundedness. If the factor model is misspecified in the sense of an omitted factor, we show that factor model based estimates may be inconsistent. However, we show that adding an alpha to the model capturing mispricing only leads to consistent estimators in case of traded factors. Moreover, our simulation experiment documents that using the more precise estimates of expected returns based on factor models rather than the historical averages translates into significant improvements in the out-of-sample performances of the optimal portfolios.","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114916656","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Credit Information System in Albania","authors":"Valbona Ribaj Çinaj, B. Ruseti","doi":"10.13189/AEB.2017.050202","DOIUrl":"https://doi.org/10.13189/AEB.2017.050202","url":null,"abstract":"The booming lending period and many lenders (16 banks and 21 non-bank financial Institutions in Albania) brought about unprecedented competition in credit markets within Albania. Economists usually view lending and competition favorably, but in Albania resulted in a number of unforeseen non-performing loans. Findings report increased problems of borrower over-indebtedness, reduced loan repayment incentives, and growing debts for lenders. The weakening performance of lenders is due in part to the absence of information sharing in these markets. Because growing numbers of lenders (banks and non-bank financial Institutions in Albania) increase the level of asymmetric information between lenders, credit information systems (often called credit reporting bureaus or credit bureaus) can play a crucial role towards improving credit market performance and, in turn, credit access for the poor. Increases in formal sector lending among the poor have created a need for credit information systems that provide potential lenders with borrower information. Improved screening affects from the system causes the level of non-performing loans to decline. In this paper we will present effects of a credit information system to be implemented in Albania. The weakening performance of lenders is due in part to the absence of information sharing in these markets. Because growing numbers of lenders (banks and non-bank financial Institutions in Albania) increase the level of asymmetric information between lenders, CISs can play a crucial role towards improving credit market performance and, in turn, credit access for the poor.","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125149649","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Non-Annuitization in the Annuity Market","authors":"B. Heijdra, Yang Jiang, J. Mierau","doi":"10.2139/ssrn.2743219","DOIUrl":"https://doi.org/10.2139/ssrn.2743219","url":null,"abstract":"Non-annuitization in the annuity market","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132570190","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"How Past Performance Framing Impacts Investors' Belief Updating","authors":"Patrick Gerhard, A. Hoffmann, Thomas Post","doi":"10.2139/ssrn.2642725","DOIUrl":"https://doi.org/10.2139/ssrn.2642725","url":null,"abstract":"Individual investors’ beliefs (return expectations and risk perceptions) drive investment decisions, with larger updates of beliefs leading to more active trading, hurting performance. We examine how framing of past performance information affects investors’ belief formation. In particular, we analyze whether presenting longer information horizons as a default option leads to smaller updates in beliefs. In a six-round experiment, we present 377 subjects with past performance information and subsequently measure updates of their beliefs. We employ three different frames, varying the default information horizon subjects are exposed to (annual, monthly, daily). Different from previous work, we allow subjects to easily and without costs opt out of the default and obtain past performance information on each of the three information horizons. In such a setting which more closely resembles investors’ actual decision-making environment, we find that in contrast to previous work, presenting returns over a longer information horizon is not necessarily beneficial. Only for subjects staying in their default information horizon, presenting portfolio performance over a longer information horizon has a mitigating effect on the magnitude of their belief updates. For subjects opting out of the default, we find the opposite effect. Especially more financially literate subjects switch out of the default.","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123381971","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Home Production as a Substitute to Market Consumption? Estimating the Elasticity Using Houseprice Shocks from the Great Recession","authors":"J. Been, S. Rohwedder, M. Hurd","doi":"10.2139/ssrn.2745152","DOIUrl":"https://doi.org/10.2139/ssrn.2745152","url":null,"abstract":"The theory of home production suggests substitutability between market consumption and home production. The current paper estimates the intratemporal elasticity between home production and market consumption from within-person variation. Shocks in houseprices induced by the Great Recession are used to infer the extent to which persons adjusted home production in response to decreasing market consumption possibilities. By using a panel data set with detailed information on both consumption spending and time-use, we find an elasticity of -0.65. Although the scope for substitution is limited (about 12% of total consumption), there are non-negligible possibilities to substitute away from market consumption to home production.","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125643576","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Financial Market Model for the Netherlands: A Methodological Refinement","authors":"S. Muns","doi":"10.2139/ssrn.2657980","DOIUrl":"https://doi.org/10.2139/ssrn.2657980","url":null,"abstract":"The Committee Parameters (Langejan et al. (2014)) advises to use the KNW-model (after Koijen et al. (2010)) to generate a representative scenario set for feasibility studies of pension funds. The scenario set enables a stochastic analysis of such feasibility studies. The underlying KNW-model is based on an affine factor model for the term structure. Stock returns, bond returns, interest rates, and inflation depend on observed factors and two latent factors. As such, the model contains relations between key financial risk factors of pension funds. CPB’s task is to estimate the model on Dutch data and, if appropriate, to calibrate some parameters in order to fit the recommendations of the Committee Parameters. Draper (2014) describes the current methods for this estimation and calibration.The calibration aims to adjust the Ultimate Forward Rate (UFR) and certain long-term expectations and covariances of the variables in the model. However, this calibration process introduces some arbitrariness. More specifically, the resulting parameter set may deviate substantially from the maximum likelihood set, even when taking the restrictions of the calibration into account. Instead of calibrating the model, we show how to impose restrictions in a continuous-time affine term structure model. In this way, the parameters correspond to the optimum of a constrained maximum likelihood estimation. The results suggest that the method in Draper (2014) provides suboptimal parameter estimates.The main result of this paper is the derivation of closed-form expressions for the long-term (unconditional) expectations, covariances, and the term structure. The expressions are required for the constrained likelihood optimization, and replace simulations for a long-run analysis of parameter sets. Our results apply to a wide range of continuous-time affine term strucure models with the Markov property, including the models in Dai and Singleton (2002) and Koijen et al. (2010).The model is outlined in Section 2. Section 3 provides expressions for the mean and covariance of possibly transformed variables in a VAR(1)-model. Section 4 presents closed-form expressions for some characteristics of the term structure in terms of the parameters. The estimation results are in Section 5. We draw conclusions in Section 6.","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130344687","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Impact of Negatively Reciprocal Inclinations on Worker Behavior: Evidence from a Retrenchment of Pension Rights","authors":"R. Montizaan, A. Grip, F. Cörvers, Thomas Dohmen","doi":"10.2139/ssrn.2731651","DOIUrl":"https://doi.org/10.2139/ssrn.2731651","url":null,"abstract":"We document that the strength of negatively reciprocal inclinations affects workers’ reaction to unfair treatment. We exploit unique matched survey and administrative data on male public sector employees in the Netherlands and compare the job motivation of employees born in 1950, who faced a substantial retrenchment of their pension rights resulting from a pension reform in 2006, to that of slightly older employees who remained entitled to more generous pension benefits. Job motivation is significantly lower among negatively reciprocal employees who were affected by the reform. The adverse effect on job motivation is stronger for negative reciprocal employees born very shortly after the cutoff date of January 1, 1950, as well as for those with many unaffected colleagues, who perceive the policy change as being more unfair. The treatment effect is stronger among workers who are more likely to hold their employer accountable for the drop in their pension rights.Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2015.2157 . This paper was accepted by Uri Gneezy, behavioral economics .","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115426208","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Impact of Introduction of Funded Pension Schemes on Intragenerational Inequality in Estonia: A Cohort Microsimulation Analysis","authors":"A. Võrk, Magnus Piirits, Jogi Evelin","doi":"10.2139/ssrn.2648150","DOIUrl":"https://doi.org/10.2139/ssrn.2648150","url":null,"abstract":"This paper uses a cohort microsimulation model to analyse intragenerational distributional effects of a shift from a defined benefit pay‐as‐you‐go pension system that includes flat rate component and length of pensionable service component to a pension system with contribution based insurance components in the PAYG scheme and an additional compulsory funded pension scheme. Estonia was among the first European countries to shift partially from a pure PAYG scheme to fully funded financing in 2002. In addition, contribution points reflecting total life‐time earnings were introduced into the PAYG scheme in 1999.We use the contribution history for 1999‐2010 and information on the participation in the funded pension scheme of a full cohort of men, born in 1980, from the Estonian National Social Insurance Board to simulate the distribution of future pensions under alternative pension schemes taking into account economic and demographic changes. Our results show that in case of large inequality of labour earnings and high long‐term unemployment rates, such as in Estonia, introduction of very strong link between contributions and future pensions leads to considerably higher inequality of pensions.Simulation results suggest that the inequality of old‐age pensions more than doubles when the reforms mature. The inequality in replacement rates on the other hand decreases.","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133904945","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Ambiguity Aversion and Household Portfolio Choice Puzzles: Empirical Evidence","authors":"Stephen G. Dimmock, Roy Kouwenberg, O. Mitchell, Kim Peijnenburg","doi":"10.2139/ssrn.2162410","DOIUrl":"https://doi.org/10.2139/ssrn.2162410","url":null,"abstract":"We test the relation between ambiguity aversion and five household portfolio choice puzzles: nonparticipation in equities, low allocations to equity, home-bias, own-company stock ownership, and portfolio under-diversification. In a representative US household survey, we measure ambiguity preferences using custom-designed questions based on Ellsberg urns. As theory predicts, ambiguity aversion is negatively associated with stock market participation, the fraction of financial assets in stocks, and foreign stock ownership, but it is positively related to own-company stock ownership. Conditional on stock ownership, ambiguity aversion is related to portfolio under-diversification, and during the financial crisis, ambiguity-averse respondents were more likely to sell stocks.","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121480822","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}