Pension Fund Asset Allocation and Liability Discount Rates

• 成果类型: Article
• 署名作者: Andonov, Aleksandar; Bauer, Rob M. M. J.; Cremers, K. J. Martijn
• 署名单位: Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Maastricht University; University of Notre Dame
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx020
• 发表日期: 2017
• 页码: 2555
• 关键词: portfolio choice; financing constraints; corporate governance; life-cycle; plans; RISK; INVESTMENT; state; performance; cost

摘要

The unique regulation of U.S. public pension funds links their liability discount rate to the expected return on assets, which gives them incentives to invest more in risky assets in order to report a better funding status. Comparing public and private pension funds in the United States, Canada, and Europe, we find that U.S. public pension funds act on their regulatory incentives. U.S. public pension funds with a higher level of underfunding per participant, as well as funds with more politicians and elected plan participants serving on the board, take more risk and use higher discount rates. The increased risk-taking by U.S. public funds is negatively related to their performance.