Essays In Pension Plan Investment And Choices
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Essays In Pension Plan Investment And Choices
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Author : Tongxuan Yang
language : en
Publisher:
Release Date : 2005
Essays In Pension Plan Investment And Choices written by Tongxuan Yang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Three Essays On Investment Decisions Pension Funds And Financial Markets
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Author : Ashok Thomas
language : en
Publisher:
Release Date : 2015
Three Essays On Investment Decisions Pension Funds And Financial Markets written by Ashok Thomas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Essays On Retirement Plans And Fund Commonalities Within Mutual Fund Families
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Author : Youngkyun Park
language : en
Publisher:
Release Date : 2008
Essays On Retirement Plans And Fund Commonalities Within Mutual Fund Families written by Youngkyun Park and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
This dissertation studies underfunding in defined benefit (DB) pension plans and firms' contribution behavior, 401(k) plan participant investments in lifecycle funds under plan sponsors' initiative, and fund commonalities within mutual fund families. Responding to the recent decline in DB pension funding, firms have increased pension contributions to their underfunded plans. In the first essay I empirically examine firms' contribution behavior to underfunded DB plans and funding choice for pension contributions. I find that firms reveal different sensitivities of pension contributions to underfunding across aggregate funding levels. Furthermore, at a lower funding level firms have the greater sensitivity of pension contributions to underfunding and significantly utilize the tax deductibility of pension contributions. As for a funding choice to fund pension deficits, firms use debt financing at a low funding level, but utilize internal funding by decreasing capital expenditures at a lower funding level. Firms that use the debt financing are likely to have investment-grade credit ratings or high debt leverage, while firms that use the internal funding are likely to be high-levered ones. Recently lifecycle funds have rapidly grown in self-directed retirement plans. Despite the increasing popularity among plan sponsors and participants, there are few empirical studies on lifecycle funds. In the second essay, I examine the recent lifecycle fund adoption behavior of 401(k) plan participants from 2004 to 2006. I find that the likelihood of participants changing an investment strategy to adopt lifecycle funds is not significantly affected by participant demographic characteristics, but by participant account and plan design features. This study extends our understanding of 401(k) plan participants' investment behavior by finding (1) that the substitution of lifecycle funds for balanced funds, as well as the designation of lifecycle funds as a plan default, strongly affect participants' investments in lifecycle funds and (2) that balanced fund holdings of participants are negatively associated with their lifecycle fund investments. Mutual funds account for a significant portion of household financial assets and retirement assets. An understanding of characteristics of mutual funds is crucial to fund investors--especially those whose retirement nest eggs are in mutual funds. In the final essay, I examine the impacts of fund commonalities within mutual fund families on fund characteristics in terms of return residual correlations and fund operating expenses. As fund commonalities within a fund family, I focus on common stock holdings and common management of funds. I find that common stock holdings and an existence of a common manager of funds are positively related to return residual correlations, but negatively related to fund operating expenses. This finding suggests that when investors select low-cost equity funds within a family, they should be aware that there exists an investment risk that the fund commonalities that lower fund operating expenses may additionally increase return correlations of the funds.
Essays On Optimal Portfolio Decisions For Long Term Investors
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Author : Hui-Ju Tsai
language : en
Publisher:
Release Date : 2010
Essays On Optimal Portfolio Decisions For Long Term Investors written by Hui-Ju Tsai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Asset allocation categories.
This dissertation contains two essays on the optimal portfolio decision for long-term investors. The first essay studies the optimal asset allocation for long-horizon investors with non-tradable labor income when multiple risky asset returns are predictable. It finds that more risk-averse investors hold a higher bond/stock ratio in their risky portfolios when labor income is positively correlated with stock return or independent of risky asset returns, but the reverse is true when labor income is positively correlated with bond return. The allocation to stock inherits the inverted U-shaped pattern of labor income growth with respect to expected time until retirement. These results suggest that popular recommendations of investment advisors that more conservative investors should hold a higher bond/stock ratio and that the portfolio allocation to stock should equal 100 minus age may both lack theoretical justification. In the out-of-sample performance test, the dynamic portfolio shows the highest mean returns and Sharpe ratio than two benchmark portfolios, justifying the economic significance of incorporating the time-variation of investment opportunities and nontradable labor income into investors' portfolio choice. The second essay studies employees' optimal portfolio in their defined contribution pension plans. Assuming a discrete time model with predictable risky asset returns, the essay finds that the employees' optimal portfolio decision can be greatly affected by the employees' time to retirement, risk preference, contribution rate as well as the correlation between labor income and asset returns. Performance test shows that the gains from adopting the dynamic portfolio strategy relative to several benchmark strategies, including the 1/n rule, the optimal static strategy with and without the consideration of asset return predictability, all stock strategy, and all company stock strategy, are economically significant and the economic gain increases with employees' risk aversion. The empirical evidence that employees invest significantly in their company stock in pension plans is difficult to be justified, even after the consideration of short-sale constraints, higher expected company stock return, employees' familiarity with their company, and employers' exclusive match policy. Over allocation to company stock can be very costly, especially to conservative employees.
Essays On Portfolio Choice And Social Security
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Author : Pablo Castaneda
language : en
Publisher:
Release Date : 2009
Essays On Portfolio Choice And Social Security written by Pablo Castaneda and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Abstract: Social security represents a fertile territory to be explored with the tools of modern finance, as social security systems in general affect the savings decisions of individuals in non trivial ways. This dissertation studies three issues of social security using the tools of continuous-time finance. All these issues are heavily motivated by the Chilean experience in the design of unemployment insurance and pension systems based on individual accounts. The first chapter deals with the incentives embedded in the compensation scheme of a risk averse portfolio manager. The interest in this case is placed on how the compensation scheme changes the investment decisions of the portfolio manager. Using a compensation scheme based on a benchmark portfolio to define the penalties and bonuses of the scheme, it is shown that the scheme motivates the portfolio manager to imitate the investment strategy of the benchmark portfolio whenever this helps the manager to either obtain a bonus or avoid a penalty. The second chapter focuses on the optimal design of benchmark portfolios. The analysis is carried out in the context of a classical Merton type portfolio choice problem. In particular, two related portfolio choice problems are studied, one dealing with the concerns of a representative worker (e.g., unemployment risk), and a second one dealing with the concerns of the portfolio manager in charge of a solidarity fund that finances the payment of a top-up monetary benefit to workers. The results suggest that the benchmark portfolio of the solidarity fund should take into account the optimal investment strategy of the representative worker's problem as the latter represents the funded portion of the liabilities of the former. The third and final chapter focuses on the long term assessment of the financial risk in a defined contribution pension system. In particular, it analyzes a case in which the competitive incentives dissociate the investment objectives of the portfolio manager from those of the pension fund member. The results suggest that the common association between risk and stock volatility may be misleading.
Essays In The Economics Of Pensions
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Author : Henry M. McMillan
language : en
Publisher:
Release Date : 1982
Essays In The Economics Of Pensions written by Henry M. McMillan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with Pensions categories.
Essays In Economics Of The Family Social Interactions And Retirement Planning
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Author : Finagnon Antoine Dedewanou
language : en
Publisher:
Release Date : 2020
Essays In Economics Of The Family Social Interactions And Retirement Planning written by Finagnon Antoine Dedewanou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Résumé en anglais
Investing For Retirement
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Author : Julia Le Blanc
language : en
Publisher:
Release Date : 2013
Investing For Retirement written by Julia Le Blanc and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Essays In Retirement Security
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Author : Hungyee Fong
language : en
Publisher:
Release Date : 2011
Essays In Retirement Security written by Hungyee Fong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Annuities categories.
The first chapter "Investment Patterns in Singapore's Central Provident Fund System" investigates how plan participants in a national defined contribution system invest their pension accumulations. I find that only a small fraction of participants elects to invest in outside investment products like professionally-managed mutual funds. Simulation results using cost data from over 200 funds demonstrate that the minimum hurdle rate of return a fund must generate is about five percent a year. Accordingly, more policy attention can be devoted to lowering fund commission charges and rationalizing the investment menu offered to participants. In the second chapter "Longevity Risk Management in Singapore's National Pension System", I evaluate the money's worth of life annuities and discuss the implications of the government entering the insurance market as a public-sector provider for annuities. I find that commercial insurers offer competitively-priced annuities with money's worth ratios averaging 0.95, which are on par with those in other developed countries. On the other hand, the new annuities launched by government under an annuitization mandate are estimated to provide money's worth ratios exceeding unity. This will benefit annuitants on average but implies that the annuity mandate will be expensive for the government if current pricing continues. The third chapter "Beyond Age and Sex: Enhancing Annuity Pricing" assesses how adopting more detailed pricing schemes may help reduce adverse selection in annuity markets. Prices of standard annuity products in the United States do not currently reflect buyers' personal characteristics other than age and sex. I show that several readily-measurable risk factors can significantly increase explained variability in mortality outcomes in a proportional hazards framework and use them to construct alternative pricing schemes. Simulation results show that more detailed pricing may help reduce adverse selection in annuity markets because shorter-lived groups are made much better off (and thus enter the market) while longer-lived groups are made only slightly worse off (and thus remain in the market).
Essays On Complexity Choice And Competition In The Market For Retirement Funds
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Author : Joseph Clark
language : en
Publisher:
Release Date : 2007
Essays On Complexity Choice And Competition In The Market For Retirement Funds written by Joseph Clark and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Pension trusts categories.