Pension Funds' Asset Allocation and Participant Age: A Test of the Life-Cycle Model

被引：27

作者：

Bikker, Jacob A. ^{[1
,2
]}

Broeders, Dirk W. G. A. ^{[1
]}

Hollanders, David A. ^{[3
]}

Ponds, Eduard H. M.

机构：

[1] DNB, Supervisory Policy Div, Strategy Dept, Amsterdam, Netherlands

[2] Univ Utrecht, Sch Econ, NL-3508 TC Utrecht, Netherlands

[3] Tilburg Univ, Tias Nimbas Business Sch, Tilburg, Netherlands

来源：

JOURNAL OF RISK AND INSURANCE | 2012年 / 79卷 / 03期

关键词：

PORTFOLIO CHOICE; RISK; PLANS; STOCK;

D O I：

10.1111/j.1539-6975.2011.01435.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article examines the impact of participants age distribution on the asset allocation of Dutch pension funds, using a unique data set of pension fund investment plans for 2007. Theory predicts a negative effect of age on (strategic) equity exposures. We observe that a 1-year higher average age in active participants leads to a significant and robust reduction of the strategic equity exposure by around 0.5 percentage point. Larger pension funds show a stronger age-equity exposure effect. The average age of active participants influences investment behavior more strongly than the average age of all participants, which is plausible as retirees no longer possess any human capital.

引用

页码：595 / 618

页数：24

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