Short-termism of long-term investors? The investment behaviour of Dutch insurance companies and pension funds

Countercyclical investment strategies of large institutional investors such as insurance companies and pension funds can support financial stability, while procyclical investment behaviour is considered as destabilizing at a macro level. Yet, there is limited understanding of how insurance companies and pension funds invest during market shocks, such as the global financial crisis. Investigating the equity and fixed income portfolios of Dutch non-life insurers, life insurers and pension funds, we find evidence for procyclical behaviour by insurance companies (both life and non-life). For pension funds, we find evidence for countercyclical behaviour during market upturns.