The Return Expectations of Public Pension Funds

• 成果类型: Article
• 署名作者: Andonov, Aleksandar; Rauh, Joshua D.
• 署名单位: University of Amsterdam; Centre for Economic Policy Research - UK; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab126
• 发表日期: 2022
• 页码: 3777
• 关键词: LIMITED PARTNER PERFORMANCE; asset allocation; experiences; RISK; investors; Extrapolation; persistence; decisions; selection; money

摘要

The return expectations of public pension funds are positively related to cross-sectional differences in past performance. This positive relation operates through the expected risk premium, rather than the expected risk-free rate or inflation rate. Pension funds act on their beliefs and adjust their portfolio composition accordingly. Persistent investment skills, risk taking, efforts to reduce costly rebalancing, and fiscal incentives from unfunded liabilities cannot fully explain the reliance of expectations on past performance. The results are consistent with extrapolative expectations, since the dependence on past returns is greater when executives have personally experienced longer performance histories with the fund.