Pension Risk Management eJournal最新文献

{"title":"An Analysis of the Variability of Outcomes for the Mandatory Components of the Australian Retirement System","authors":"John R. Evans, A. Razeed","doi":"10.2139/ssrn.3707284","DOIUrl":"https://doi.org/10.2139/ssrn.3707284","url":null,"abstract":"The outcome of the mandatory components of the Australian retirement system for both retirees and the Australian Government will vary over time based on a complex interrelationship of wage growth, investment returns, (un)employment, and longevity of retirees. This paper considers the impact of variations in these factors and concludes that for the mean income household, real investment returns are the critical determinant of retiree outcomes, whilst for the Australian Government, longevity of retirees is the critical factor.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"106 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128124194","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":"Пенсионните Фондове в България: резултати и перспективи (Pension Funds in Bulgaria: Performance and Prospects)","authors":"Lubomir Christoff","doi":"10.2139/ssrn.3688441","DOIUrl":"https://doi.org/10.2139/ssrn.3688441","url":null,"abstract":"<b>Bulgarian Abstract: </b> Представям резултатите от функциониране на пенсионните фондове в България между 2001 и 30.06.2020 г. Наблюдавам, че:<br><br>• пенсионните фондове се управляват прекалено консервативно, в разрез с дългосрочните цели на осигурените лица; <br><br>• доходността, реализирана при активно управление на пенсионните фондове в периода 30.06.2004-30.06.2020 г. изостава значително от представянето на портфейл-еталон с по-нисък риск и по-ниски такси. Осигурените плащат такси над пазарните за доходност под пазарната. <br><br>• реалната доходност, получена от осигурените в периода 2001-30.06.2020 г. е отрицателна. Пенсионните доходи не натрупват, а разрушават покупателната способност на осигурителните вноски. <br><br>• пенсията от универсален пенсионен фонд (УПФ) не е в състояние да замести намалението на държавната пенсия при 40 години непрекъснато осигуряване. <br><br>Така е, защото доходността, получавана от осигурените изостава безнадеждно от темпа на средния осигурителен доход за страната. Така, за мнозинството две пенсии са по-малко от една.<br><br>Изтъквам пороци на пенсионните фондове, вградени в Кодекса за социално осигуряване, които увреждат интереса на осигурените лица. Това превръща пенсионните фондове в:<br><br>• негодни да осигурят допълнителни пенсии, <br><br>• неизгодни - с такси над пазарните и <br><br>• неподходящи тъй като не са съобразени с индивидуалния профил на осигурените, пенсионни продукти. Капиталовите пенсионни схеми у нас имат бъдеще при две условия, че: <br><br>• са в състояние да осигурят допълнителни пенсии и <br><br>• се управляват с оглед реализиране на положителна реална доходност за осигурените. За постигане на тези резултати е необходимо като минимум: <br><br>• финансиране на капиталовите схеми с наистина допълнителни осигурителни вноски и <br><br>• отстраняване вродените пороци в регулирането на пенсионните фондове. <br><br><b>English abstract:</b> I analyze the Bulgarian pension funds’ performance between end-2001 and end-June 2020 and observe that:<br><br>* pension funds in Bulgaria are managed overly conservatively and not according to the best long-term interests of pension savers; <br><br>* actively managed pension portfolios underperform by a wide margin a simple passive benchmark with lower risk and lower fees. Bulgarian savers in pension funds overpay for underperformance; <br><br>* the real return credited to the pension savers’ accounts in 18.5 years (31.12.2001-30.06.2020) is negative. Bulgarian pension funds destroy value. <br><br>* a DC scheme (universal pension fund) pension fails to compensate the pension saver for the reduction of the state pension and thus two pensions in Bulgaria are less than one. <br><br>This is due to: a) investments in universal pension funds are financed at the expense of the mandatory contribution to the state pension fund. In effect the DC scheme is a partial privatization of the public pension scheme. As a result the state pension of those contributing t","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127204041","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 Different Is Real Estate? A Story of Factors","authors":"L. Peng","doi":"10.2139/ssrn.3680926","DOIUrl":"https://doi.org/10.2139/ssrn.3680926","url":null,"abstract":"How different is real estate from stocks and bonds? This paper sheds light on this question with new data and new methods. Analyzing 10,848 commercial properties from 1977 to 2017, we find that properties’ risk premiums contain systematic components that are orthogonal to a comprehensive list of stock and bond factors. We call these components real estate factors. We also find that properties in each region and property type have their own factors. The real estate factors have substantial incremental explanatory power for individual properties’ risk premiums, and properties’ attributes are related to their loadings of the real estate factors.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116855419","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":"Does the Actuarial Adjustment for Pension Delay Affect Retirement and Claiming Decisions?","authors":"Devon Gorry, Kyung-Min Lee, S. Slavov","doi":"10.3386/w27508","DOIUrl":"https://doi.org/10.3386/w27508","url":null,"abstract":"\u0000 We investigate the impact of a 2005 policy that provided more generous terms for delaying state pensions in the United Kingdom. First, we find that the policy reduced the fraction of males and possibly females receiving pensions at the earliest eligibility age and shortly thereafter. This shift affected cohorts who became eligible for state pensions at or after the policy change. Second, the policy is associated with increases in male and female labor supply around the earliest pension eligibility age, consistent with some individuals working longer to finance pension delay. However, further analysis suggests that these labor supply changes are more likely to reflect longer-term trends across birth cohorts rather than a causal effect of the policy.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123794914","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":"So Similar, yet So Different: Comparing the US GAAP and IFRS Experience at Eliciting Greater Transparency on Pension Asset Disclosures","authors":"Divya Anantharaman, E. Chuk","doi":"10.2139/ssrn.3646842","DOIUrl":"https://doi.org/10.2139/ssrn.3646842","url":null,"abstract":"We examine whether (and to what extent) accounting regulation intended to improve disclosure can lead to higher disclosure quality in the absence of a change in preparer incentives. We exploit a sequence of two similar regulatory changes, one under US GAAP and the other under IFRS, which have one key difference — while both changes mandate improvements to the disclosure of pension asset allocation, only the latter removes preparer incentives to disclose opaquely (by eliminating a key reporting assumption–the expected rate of return on pension assets or ERR, which can be more effectively manipulated if asset allocation remains opaque). We construct two difference-in-difference research designs to examine the difference in disclosure outcomes between these two changes. We find that the IFRS disclosure standard is effective at improving pension asset transparency as intended, whereas the US standard — which only mandates better disclosure while leaving unchanged preparers’ incentives to disclose or obfuscate — is not as effective at improving pension asset transparency. Our findings suggest that accounting standards are more effective at improving financial reporting quality when standards are designed so as to minimize the incentives built in to report favorable accounting numbers.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114985362","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":"Does Collateral Value Affect Asset Prices? Evidence from a Natural Experiment in Texas","authors":"A. Zevelev","doi":"10.1093/rfs/hhaa117","DOIUrl":"https://doi.org/10.1093/rfs/hhaa117","url":null,"abstract":"\u0000 Does the ability to pledge an asset as collateral, after purchase, affect its price? This paper identifies the impact of collateral service flows on house prices, exploiting a plausibly exogenous constitutional amendment in Texas that legalized home equity loans in 1998. The law change increased Texas house prices 4 $%$; this is price-based evidence that households are credit-constrained and value home equity loans to facilitate consumption smoothing. Prices rose more in locations with inelastic supply, higher prelaw house prices, higher income, and lower unemployment. These estimates reveal that richer households value the option to pledge their home as collateral more strongly.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128543338","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":"Catching Up or Crowding Out? The Crowd-Out Effects of Catch-Up Retirement Contributions on Non-Retirement Saving","authors":"Lucas W. Goodman","doi":"10.2139/ssrn.3532426","DOIUrl":"https://doi.org/10.2139/ssrn.3532426","url":null,"abstract":"Abstract Using tax data, this paper exploits a discontinuous increase in retirement contribution limits based on exact date of birth. This paper finds clear evidence that constrained individuals increase their retirement saving when so eligible, but finds no evidence suggesting that non-retirement saving falls. In the baseline specifications, one can rule out crowd-out greater than approximately 0.38 to 0.57 at the 95% confidence level depending on the measure used. This suggests that the additional contributions induced by catch-up eligibility represent an increase in total private saving.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123245011","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":"Labor Unemployment Insurance and Pension Asset Allocations","authors":"Yi Liang, Paraskevi Vicky Kiosse, Monika Tarsalewska","doi":"10.2139/ssrn.3593225","DOIUrl":"https://doi.org/10.2139/ssrn.3593225","url":null,"abstract":"This paper examines the effect of unemployment risk on pension investment decisions of defined benefit (DB) pension plans. In particular, we examine whether unemployment insurance (UI) benefits result in increases in pension investment risk. Using fixed-effects and difference-in-difference analysis, we find evidence that firms take higher pension investment risk by investing more heavily in equities after unemployment insurance benefits increase. These results, which are robust to a number of sensitivity tests, are consistent with the notion that firms undertake more risk when the costs of unemployment decrease. In additional analyses, we find that changes in unemployment risk also affect other pension-related decisions such as earnings management using the expected rate of return on pension plan assets (ERR) and DB plan freezes.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"284 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131838487","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 Fundamental-to-Market Ratio and the Value Premium Decline","authors":"A. Gonçalves, Gregory Leonard","doi":"10.2139/ssrn.3573444","DOIUrl":"https://doi.org/10.2139/ssrn.3573444","url":null,"abstract":"Recent evidence indicates the value premium declined over time. In this paper, we argue this decline happened because book equity, BE, is no longer a good proxy for fundamental equity, FE, defined as the equity value originating purely from expected cash flows (i.e., no discount rate differences across firms). Specifically, we estimate FE for public US firms (from 1973 to 2018) and find that the premium associated with the fundamental-to-market ratio, FE/ME, has been large and stable while the cross-sectional correlation between FE/ME and BE/ME decreased over time, inducing an apparent decline in the value premium. Our results echo recent findings in the corporate finance literature","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"2675 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133338586","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":"Retornos reales de los fondos privados de pensiones en Colombia (Real Returns of Private Pension Funds in Colombia)","authors":"Flor Esther Salazar Guatibonza","doi":"10.2139/ssrn.3550103","DOIUrl":"https://doi.org/10.2139/ssrn.3550103","url":null,"abstract":"<b>Spanish Abstract:</b> Sobre el desempeño del sistema privado de pensiones en Colombia, Régimen de Ahorro Individual con solidaridad - RAIs, se suele resaltar los resultados en términos de rentabilidad, tesis defendida por la industria de Administradoras de fondos. Con el objetivo de evaluar qué tan significativos han sido los rendimientos generados por este esquema en términos reales, a partir de base de datos de movimientos diarios de los fondos de pensiones desde 1995 hasta diciembre de 2016 y usando la metodología establecida por la Superintendencia Financiera de Colombia (SFC) para el cálculo de rentabilidades, se determina la rentabilidad neta de costos de administración explícitos que debe asumir el afiliado y de ajuste por inflación. A partir del ejercicio realizado se encuentra que para el fondo moderado desde el inicio de operación de estos fondos la rentabilidad real desde la perspectiva del afiliado ha sido cercana a cero, igual ha sido la tendencia para los fondos conservador y de mayor riesgo que en los últimos años tienden a tornarse negativas. A partir de los resultados se discute sobre los beneficios que suelen atribuirse a los sistemas de capitalización individual en términos de altos retornos, mejores pensiones y protección de ahorros, que contrastan con las bajas pensiones o imposibilidad de pensión que se empieza a hacer evidente en los fondos de pensiones privados en Colombia. <br><br><b>English Abstract:</b> On the performance of the private pensions system in Colombia, Individual Savings Regime with Solidarity – RAIs (per its acronym in Spanish), the results are often highlighted in terms of profitability; a thesis upheld by the fund Managers industry. In order to evaluate how significant the real returns generated by this scheme have actually been, from a database of daily transactions by the pension funds from 1995 to December 2016, and using the methodology established by the Superintendencia Financiera de Colombia (SFC-Financial Superintendence of Colombia) for the calculation of returns, was determined the net return on explicit administration costs to be borne by the members and inflation adjustment. Such endeavor found that for the moderate, fund since they began operating, their actual profitability from the perspective of their affiliates has been close to zero, as has been the trend for conservative and higher risk funds, which in recent years tended to become negative. Based on these results, we discuss the benefits that are usually attributed to individual capitalization systems in terms of high returns, better pensions, and savings protection, which contrast with the low pensions, or impossibility attaining one, that is starting to become evident in private pension funds in Colombia.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130734804","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}