Pension funds’ asset allocation and participant age: A test of the life-cycle model
Bikker,J.A. Broeders,D.W.G.A. Hollanders,D.A. Ponds,E.H.M.
Bikker,J.A.
Broeders,D.W.G.A.
Hollanders,D.A.
Ponds,E.H.M.
Abstract
This article examines the impact of participants’ age distribution on the asset allocation of Dutch pension funds, using a unique data set of pension fund investment plans for 2007. Theory predicts a negative effect of age on (strategic) equity exposures. We observe that a 1-year higher average age in active participants leads to a significant and robust reduction of the strategic equity exposure by around 0.5 percentage point. Larger pension funds show a stronger age-equity exposure effect. The average age of active participants influences investment behavior more strongly than the average age of all participants, which is plausible as retirees no longer possess any human capital.
Description
Date
2012
Journal Title
Journal ISSN
Volume Title
Publisher
Research Projects
Organizational Units
Journal Issue
Keywords
SDG 8 - Decent Work and Economic Growth
Citation
Bikker, J A, Broeders, D W G A, Hollanders, D A & Ponds, E H M 2012, 'Pension funds’ asset allocation and participant age : A test of the life-cycle model', Journal of Risk and Insurance, vol. 79, no. 3, pp. 595-618. https://doi.org/10.1111/j.1539-6975.2011.01435.x