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Active Investing as a Negative Sum Game: A Critical Review 作为负和博弈的积极投资:一篇批判性评论
Pension Risk Management eJournal Pub Date : 2020-01-22 DOI: 10.2139/ssrn.3441036
G. Warren
{"title":"Active Investing as a Negative Sum Game: A Critical Review","authors":"G. Warren","doi":"10.2139/ssrn.3441036","DOIUrl":"https://doi.org/10.2139/ssrn.3441036","url":null,"abstract":"The literature on whether active management adds value is examined through the prism of the proposition by Sharpe (1991) that active investing is a negative sum game after costs. Focal points include how active fund research does not directly test Sharpe’s proposition and seems inconsistent with it acting as a constraint, and the gaps that may leave room for active managers to outperform. It is argued that greater attention needs to be paid to the importance of investor circumstances and market conditions for the active-passive choice, in particular the fee paid, investor objectives and asset category.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123345123","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}
引用次数: 0
A Note on Gollier’s Model for a Collective Pension Scheme 关于Gollier集体养老金计划模型的注解
Pension Risk Management eJournal Pub Date : 2020-01-09 DOI: 10.2139/ssrn.3473004
J. M. Schumacher
{"title":"A Note on Gollier’s Model for a Collective Pension Scheme","authors":"J. M. Schumacher","doi":"10.2139/ssrn.3473004","DOIUrl":"https://doi.org/10.2139/ssrn.3473004","url":null,"abstract":"Gollier (2008) has proposed a model for the analysis of pension schemes that is helpful to focus attention on the impact of intergenerational risk sharing and on the role of the participation constraint. He uses the model to analyze the relative attractiveness of a collective scheme with respect to schemes that may be implemented by individuals for themselves. The analysis makes use of an assumption concerning the ownership rights of investment returns realized by generations that are between career start and retirement at the time of the transition from an individual to a collective system. The present paper investigates the consequences of adopting an alternative assumption. In a calibration exercise, the increase of the effective rate of return obtained by switching from an existing \"autarky'' scheme to an infinite-horizon \"collective'' scheme is found to be 8 basis points, as opposed to 72 basis points as reported in Gollier (2008). Additionally, the effects are considered of changes in the specification of agents' preferences, aiming to express the specific nature of retirement income provision in the second pillar. The impact of the modifications turns out to be quite large. The Black-Scholes assumptions are used to model the economic environment, so that many results can be obtained in closed form.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128591110","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}
引用次数: 0
Value at Risk, Legislative Framework, Crises, and Procyclicality: What Goes Wrong? 风险价值、立法框架、危机和顺周期:哪里出了问题?
Pension Risk Management eJournal Pub Date : 2019-12-15 DOI: 10.15353/rea.v12i3.1698
Evangelos Vasileiou, Aristeidis Samitas
{"title":"Value at Risk, Legislative Framework, Crises, and Procyclicality: What Goes Wrong?","authors":"Evangelos Vasileiou, Aristeidis Samitas","doi":"10.15353/rea.v12i3.1698","DOIUrl":"https://doi.org/10.15353/rea.v12i3.1698","url":null,"abstract":"This study highlights some deficiencies of the stock markets’ risk legislation framework, and particularly the CESR (2010) guidelines. We show that the current legislative framework fails to offer incentives to financial management companies to invest in advanced models for more representative Value at Risk (VaR) estimations, and for this reason, in many cases conventional VaR models are applied. We use data from the DAX, CAC 40, FTSE, FTSEMIB and IBEX indices, and then we apply them to the widely accepted Delta Normal VaR model. The empirical findings show that the conventional VaR models not only fail to provide information for the upcoming financial crises, but also contribute to such phenomena as procyclicality and overreaction in the stock market. We suggest additional tests and we empirically show how these tests could reduce the procyclicality issue and promote a more sustainable investment environment. Even though this study is mainly focused on CESR (2010) guidelines, it could be useful for any similar legislative framework, such as the Basel Accords.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"23 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131830089","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}
引用次数: 3
On the Projection of Mortality Rates to Extreme Old Age 关于对极高龄死亡率的预测
Pension Risk Management eJournal Pub Date : 2019-12-13 DOI: 10.2139/ssrn.3552235
K. Dowd, D. Blake
{"title":"On the Projection of Mortality Rates to Extreme Old Age","authors":"K. Dowd, D. Blake","doi":"10.2139/ssrn.3552235","DOIUrl":"https://doi.org/10.2139/ssrn.3552235","url":null,"abstract":"This article shows how cohort mortality rate projections of mortality models that involve age effects can be improved and extended to extreme old ages. The proposed approach allows insurers to use such mortality models to obtain valuations of financial instruments such as annuities that depend on projections of extreme old age mortality rates.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114821282","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}
引用次数: 1
Long-Term Investing by Pension Funds. How to Effectively Design and Implement Mandates: A Dutch Case Study 养老基金的长期投资。如何有效地设计和实施授权:一个荷兰的案例研究
Pension Risk Management eJournal Pub Date : 2019-11-28 DOI: 10.2139/ssrn.3494956
Alfred Slager, Marcel H. A. Jeucken
{"title":"Long-Term Investing by Pension Funds. How to Effectively Design and Implement Mandates: A Dutch Case Study","authors":"Alfred Slager, Marcel H. A. Jeucken","doi":"10.2139/ssrn.3494956","DOIUrl":"https://doi.org/10.2139/ssrn.3494956","url":null,"abstract":"Pension funds are increasingly trying to embed long-term investing choices within their portfolios. Many publications focus on the rationale for long term investing; however, it remains unclear what long term investing actually is, what sets it apart from the current way of investing, and how it should add value. The purpose of this paper is to provide a practical framework for pension fund trustees aiming to bolster and implement long term investing. In doing so, the paper’s contribution is that we choose the trustee’s perspective, build on different existing election and monitoring frameworks, and argue that pension boards have more instruments at hand to implement long-term investing.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125699722","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}
引用次数: 0
The Economic Burden of Pension Shortfalls: Evidence from House Prices 养老金短缺的经济负担:来自房价的证据
Pension Risk Management eJournal Pub Date : 2019-11-04 DOI: 10.2139/ssrn.3757016
Darren J. Aiello, Asaf Bernstein, Mahyar Kargar, Ryan Lewis, Michael Schwert
{"title":"The Economic Burden of Pension Shortfalls: Evidence from House Prices","authors":"Darren J. Aiello, Asaf Bernstein, Mahyar Kargar, Ryan Lewis, Michael Schwert","doi":"10.2139/ssrn.3757016","DOIUrl":"https://doi.org/10.2139/ssrn.3757016","url":null,"abstract":"U.S. state pensions are underfunded by trillions of dollars, but their economic burden is unclear. In a model of inefficient taxation, real estate fully reflects the cost of pension shortfalls when it is the only form of immobile capital. We study the effect of pension shortfalls on real estate values at state borders, where labor and physical capital could more easily relocate to a state with a smaller shortfall. Using plausibly exogenous variation driven by pension asset returns, we find that one dollar of pension underfunding reduces house prices near state borders by approximately two dollars. Our estimates imply a deadweight loss associated with addressing pension shortfalls that is consistent with prior research in settings with high returns to public spending and costs of taxation.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134000401","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}
引用次数: 1
Do Deferred Benefit Cuts for Current Employees Increase Separation? 当前员工的延迟福利削减会增加离职吗?
Pension Risk Management eJournal Pub Date : 2019-11-01 DOI: 10.2139/ssrn.3489420
Laura D. Quinby, Gal Wettstein
{"title":"Do Deferred Benefit Cuts for Current Employees Increase Separation?","authors":"Laura D. Quinby, Gal Wettstein","doi":"10.2139/ssrn.3489420","DOIUrl":"https://doi.org/10.2139/ssrn.3489420","url":null,"abstract":"This study examines whether deferred benefit cuts affecting current public employees encourage mid-career teachers and civil servants to separate from their employers. The analysis takes advantage of a 2005 reform to the Employees’ Retirement System of Rhode Island (ERSRI) that dramatically reduced the generosity of benefits for current workers. Importantly, the cuts applied only to ERSRI members who had not vested by June 30, 2005. High-tenure ERSRI members and municipal government employees in Rhode Island were unaffected. This sharp difference in benefit levels permits a triple-differences research design in which low-tenure ERSRI members are compared, before and after the reform, to high-tenure members, and to lowand high-tenure members of the Municipal Employees’ Retirement System of Rhode Island. The results show that the benefit cut caused a 2.4-percentage-point increase in the rate of separation, implying an elasticity of employer-specific labor supply with respect to deferred benefits of 0.28. Although state employees were more sensitive to benefit cuts than teachers, the low elasticities for both groups suggest that the labor market for public employees may not be highly competitive.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129305203","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}
引用次数: 2
To Divest or to Engage? A Case Study of Climate-Change Activism 剥离还是参与?气候变化行动主义的案例研究
Pension Risk Management eJournal Pub Date : 2019-09-22 DOI: 10.2139/ssrn.3464027
D. Chambers, E. Dimson, Ellen Quigley
{"title":"To Divest or to Engage? A Case Study of Climate-Change Activism","authors":"D. Chambers, E. Dimson, Ellen Quigley","doi":"10.2139/ssrn.3464027","DOIUrl":"https://doi.org/10.2139/ssrn.3464027","url":null,"abstract":"A dilemma faced by an increasing number of investors is whether to boycott environmentally damaging businesses or whether to enter into a dialogue with them. This predicament now has its epicentre in Cambridge, England, where the ancient university faces great pressure from students and staff to respond to the threat of climate change. Having already received two reports on its approach to responsible investment, the university has appointed a new chief investment officer (CIO) who needs to consider the question of whether to divest or to engage. What would be the financial effects of each choice, and what would be the outcome in terms of environmental impact? Our case describes the background and the research behind the debate. The new CIO and her recently-appointed colleague, the chief financial officer, will present their ideas to the university. In contrast with other Journal articles, we do not propose solutions. Instead, we ask you, the reader, to consider the arguments and to take a position.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131219860","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}
引用次数: 2
Retirement Policy and Annuity Market Equilibria: Evidence from Chile 退休政策与年金市场均衡:来自智利的证据
Pension Risk Management eJournal Pub Date : 2019-09-01 DOI: 10.3386/w26285
Gastón Illanes, Manisha Padi
{"title":"Retirement Policy and Annuity Market Equilibria: Evidence from Chile","authors":"Gastón Illanes, Manisha Padi","doi":"10.3386/w26285","DOIUrl":"https://doi.org/10.3386/w26285","url":null,"abstract":"Retirement policy has indirect effects on its beneficiaries, through the “crowd-out” or “crowd-in” of insurance markets. We study how retirement policy in Chile, which limits the drawdown of retirement assets but otherwise does not provide or require fixed income in retirement, results in more than 60% of eligible retirees purchasing private annuities at low prices. We estimate a demand model to show that replacing this voluntary policy with partial mandatory annuitization and removing limits on drawdowns causes the private annuity market to partially unravel. Under our model, this reform leads to a welfare increase equivalent to US$4,000 of additional pension savings on average, but welfare effects are heterogenous and many retirees would be harmed due to the higher prices of private annuities. Our results highlight the importance of considering the impact of policy reforms on the equilibria of related markets.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127212097","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}
引用次数: 8
Creative Destruction, Social Security Uptake and Union Networks 创造性破坏，社会保障吸收和联盟网络
Pension Risk Management eJournal Pub Date : 2019-08-01 DOI: 10.2139/ssrn.3445812
Harald Dale-Olsen
{"title":"Creative Destruction, Social Security Uptake and Union Networks","authors":"Harald Dale-Olsen","doi":"10.2139/ssrn.3445812","DOIUrl":"https://doi.org/10.2139/ssrn.3445812","url":null,"abstract":"Does the creative destruction induced by unions entail increased social security uptake? Creative destruction implies the closures of less productive workplaces, and if the regional benefits from this process is not large enough, the displacements caused by workplace closures cause increased social security uptake. In this paper we apply a shift-share approach and historical unionisation data from 1918 to study the impact of regional unionisation changes in Norway on regional social security uptake during the period 2003-2012. As regional unionisation increases, inflows to regional unemployment and disability decrease, but the outflow to retirement increases.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123496302","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}
引用次数: 0
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