Retail Financial Innovation and Stock Market Dynamics: The Case of Target Date Funds

• 成果类型: Article
• 署名作者: Parker, Jonathan A.; Schoar, Antoinette; Sun, Yang
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Brandeis University; Brandeis University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13258
• 发表日期: 2023
• 页码: 2673-2723
• 关键词: portfolio choice; INVESTOR FLOWS; demand curves; cross-section; momentum; returns; price; RISK; strategies; BEHAVIOR

摘要

Target date funds (TDFs) are designed to provide unsophisticated or inattentive investors with age-appropriate exposures to different asset classes like stocks and bonds. The rise of TDFs has moved a significant share of retirement investors into macrocontrarian strategies that sell stocks after relatively good stock market performance. This rebalancing drives contrarian flows across equity mutual funds held by TDFs, stabilizing their funding, and reduces stock returns for stocks disproportionately held by these funds when stock market returns are relatively high. Continued growth in TDFs and similar investment products may dampen stock market volatility and increase the transmission of shocks across asset classes.