| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16635 |
| DP16635 The Return Expectations of Public Pension Funds | |
| Aleksandar Andonov; Joshua Rauh | |
| 发表日期 | 2021-10-14 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 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, as the dependence on past returns is greater when executives have personally experienced longer performance histories with the fund. |
| 主题 | Financial Economics ; Public Economics |
| 关键词 | Institutional investors Pension funds Return expectations Asset allocation Extrapolation |
| URL | https://cepr.org/publications/dp16635 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545575 |
| 推荐引用方式 GB/T 7714 | Aleksandar Andonov,Joshua Rauh. DP16635 The Return Expectations of Public Pension Funds. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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