流动性冲击与养老基金业绩：来自早期准入的证据

IF 2 4区管理学 Q3 BUSINESS

Australian Journal of Management Pub Date : 2022-11-02 DOI:10.1177/03128962221127804

James Brugler, Minsoo Kim, Zhuo Zhong

{"title":"流动性冲击与养老基金业绩：来自早期准入的证据","authors":"James Brugler, Minsoo Kim, Zhuo Zhong","doi":"10.1177/03128962221127804","DOIUrl":null,"url":null,"abstract":"We study how expectations of fund flows causally affect fund performance by exploiting a quasi-natural experiment in the Australian pension system where an unexpected policy change temporarily allowed fund withdrawals from a prespecified date in the future. Using fractions of young members, middle-aged members, and government co-contributions for low-income earners as instrumental variables, we find an insignificant effect of expected fund outflows on performance. A potential explanation is that Australian superannuation funds preemptively engage in liquidity management in response to changes in expectations of future fund flows and this helps to limit direct and indirect costs in the rebalancing process. JEL Classification: G11, G12, G14, G23, G51","PeriodicalId":47209,"journal":{"name":"Australian Journal of Management","volume":null,"pages":null},"PeriodicalIF":2.0000,"publicationDate":"2022-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Liquidity shocks and pension fund performance: Evidence from early access\",\"authors\":\"James Brugler, Minsoo Kim, Zhuo Zhong\",\"doi\":\"10.1177/03128962221127804\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We study how expectations of fund flows causally affect fund performance by exploiting a quasi-natural experiment in the Australian pension system where an unexpected policy change temporarily allowed fund withdrawals from a prespecified date in the future. Using fractions of young members, middle-aged members, and government co-contributions for low-income earners as instrumental variables, we find an insignificant effect of expected fund outflows on performance. A potential explanation is that Australian superannuation funds preemptively engage in liquidity management in response to changes in expectations of future fund flows and this helps to limit direct and indirect costs in the rebalancing process. JEL Classification: G11, G12, G14, G23, G51\",\"PeriodicalId\":47209,\"journal\":{\"name\":\"Australian Journal of Management\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.0000,\"publicationDate\":\"2022-11-02\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Australian Journal of Management\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://doi.org/10.1177/03128962221127804\",\"RegionNum\":4,\"RegionCategory\":\"管理学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Australian Journal of Management","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1177/03128962221127804","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS","Score":null,"Total":0}

引用次数: 0

摘要

我们利用澳大利亚养老金制度中的一个准自然实验，研究了对资金流动的预期如何对基金绩效产生因果影响，在该实验中，意外的政策变化暂时允许基金从未来预先指定的日期提款。使用年轻成员、中年成员和低收入者的政府共同出资的比例作为工具变量，我们发现预期资金外流对绩效的影响并不显著。一种潜在的解释是，澳大利亚养老基金会先发制人地参与流动性管理，以应对未来资金流动预期的变化，这有助于限制再平衡过程中的直接和间接成本。JEL分类：G11、G12、G14、G23、G51

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Liquidity shocks and pension fund performance: Evidence from early access

We study how expectations of fund flows causally affect fund performance by exploiting a quasi-natural experiment in the Australian pension system where an unexpected policy change temporarily allowed fund withdrawals from a prespecified date in the future. Using fractions of young members, middle-aged members, and government co-contributions for low-income earners as instrumental variables, we find an insignificant effect of expected fund outflows on performance. A potential explanation is that Australian superannuation funds preemptively engage in liquidity management in response to changes in expectations of future fund flows and this helps to limit direct and indirect costs in the rebalancing process. JEL Classification: G11, G12, G14, G23, G51

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Australian Journal of Management Multiple-

CiteScore

10.60

自引率

4.20%

发文量

期刊介绍： The objectives of the Australian Journal of Management are to encourage and publish research in the field of management. The terms management and research are both broadly defined. The former includes the management of firms, groups, industries, regulatory bodies, government, and other institutions. The latter encompasses both discipline- and problem-based research. Consistent with the policy, the Australian Journal of Management publishes research in accounting, applied economics, finance, industrial relations, political science, psychology, statistics, and other disciplines, provided the application is to management, as well as research in areas such as marketing, corporate strategy, operations management, organisation development, decision analysis, and other problem-focuses paradigms.