In this paper, we provide additional empirical evidence on the impact of institutional investors on stock return dynamics. The Polish pension system reform in 1999 and the associated increase in institutional ownership due to the investment activities of pension funds are exploited as an unique institutional characteristic. Performing a variant of the event study methodology in an asymmetric GA...

In a financial market with one riskless asset and n risky assets following geometric Brownian motions, we solve the problem of a pension fund maximizing the expected CRRA utility of its terminal wealth. By considering a stochastic death time for a subscriber, we solve a unique problem for both accumulation and decumulation phases. We show that the optimal asset allocation during these two phase...

This paper employs Data Envelopment Analysis to measure for the first time the performance of Greek domestic equity mutual funds over four different one-year horizons and for the whole four-year period. In particular, the model used examines whether fund managers employ inputs (i.e. assets, loads, and risk) efficiently to produce output (returns). The results demonstrate that the efficient fund...

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This paper shows empirically that the positive association between mutual fund ownership and firm value in China is mainly driven by the informed trading of mutual funds. Utilizing the unique short term feature of mutual fund holdings for the period from 2001 to 2010, we provide an informational link between a decomposed component of market-to-book ratio (firm specific valuation component) and ...

In enhanced annuities, the annuity payment depends on one’s state of health at some contracted date while in ”standard annuities”, it does not. The focus of this paper is on an annuity market where ”standard” and enhanced annuities are offered simultaneously. When all insured know equally well on their future health status either enhanced annuities drive standard annuities out of the market or ...

We investigate asset-allocation strategies open to members of defined-contribution pension plans with a model that incorporates asset, salary (labour-income) and interest-rate risk. We propose a novel form of terminal utility function, incorporating habit formation, that uses the member’s final salary as a numeraire. The paper discusses various properties and characteristics of the optimal asse...

We examine the form, adoption rates, and economic rationale for various mutual fund investment restrictions. A sample of U.S. domestic equity funds from 1994 to 2000 reveals systematic patterns in investment constraints, consistent with an optimal contracting equilibrium in the fund industry. Restrictions are more common when (i) boards contain a higher proportion of inside directors, (ii) the ...

This paper investigates the determinants of public pension plan risk-taking behavior using the percentage of total plan assets invested in the equity markets and the pension asset beta as measures of investment risk. We find that government accounting standards strongly affect public fund investment risk, as higher return assumptions (used to discount pension liabilities) are associated with hi...

The 1991 Credit Lyonnais court ruling expanded the fiduciary duties of managers towards debtholders in near-insolvent Delaware firms. Differences-in-differences tests reveal that innovation efficiency increased among all Delaware firms following the ruling. Further, Delaware firms close to (far from) insolvency reduced (expanded) their R&D expenditures and innovation output. Both sets of firms ...