scholarly journals Herding in Chile: the case of equity trading in the Chilean pension fund market

2020 ◽  
Vol 18 (1) ◽  
pp. 23
Author(s):  
Roberto Stein ◽  
Pedro Miranda ◽  
Rodolfo Risco
Keyword(s):  
Performance Evaluation ◽  
Stock Market ◽  
Pension Fund ◽  
Equity Markets ◽  
Pension Funds ◽  
Herd Behavior ◽  
Equity Trading ◽  
Money Managers ◽  
Two Measures ◽  
The Stability

The phenomena of ‘herding’ or herd behavior can have important effects when it manifests in equity markets as co-movement in trades of institutional money managers. On one hand, the assetsunder management are so large in comparison with the size of themarket that the trades of these managers affect asset prices, evenmore so if many managers trade in the same direction. On the otherhand, commissions and fees paid by investors are supposedly leviedin exchange for an expert management of the investors’ capital.Thus, a manager that simply imitates the behavior of others does notadd value with her work. The present study is the first to report theresults of two measures of herding used to study this phenomenon inthe equity portions of Chilean AFP (pension) funds. One measure isthe widely used Lakonishok, Vishny y Shleifer (1992) metric, theother is a relatively newer measure presented in Sias (2004). Using adataset of monthly fund trades during the period 2003-2011, bothmeasures find herding in the Chilean market which, while moderatein intensity, is still higher than that reported in the stock markets ofdeveloped countries. More interesting is the asymmetry of results:herding is stronger during times of market crisis, and almostdisappears during periods when the economy expands. These resultshave important implications for performance evaluation and valueadded of the pension funds managed by the AFPs, as well as theimpact of their trades in the stability of the stock market.

scholarly journals Perceptions of affiliates to private pension funds

2019 ◽  
Vol 22 (47) ◽  
pp. 58-72
Author(s):  
Jorge Braulio Guillen
Keyword(s):  
Stock Market ◽  
Structural Equation Model ◽  
Structural Equation ◽  
Pension Fund ◽  
Pension Funds ◽  
Equation Model ◽  
Private Pension ◽  
Socioeconomic Variables ◽  
Before And After

The following paper studies the determinants of choosing a private pension fund institution by processing a questionnaire of 514 affiliates. The questionnaire attempts to measure perceptions of the consumer with respect to their private pension fund institution. Using a structural equation model, we found that socioeconomic variables are irrelevant but some perceptions like the return of portfolio and leadership of the private pension fund were relevant in the choice of a private pension fund institution. We contrast the model in two different periods of time between 2009 and 2016. The periods before and after financial turmoil in the stock market.

scholarly journals Modelling Development of Voluntary Pension Fund Using Mathematical Model of Approximation with Lagrange Interpolation Polynomials

2021 ◽  
Vol 59 (2) ◽  
pp. 243-257
Author(s):  
Ivan Radojković ◽  
Branislav Ranđelović ◽  
Ivana Ilić
Keyword(s):  
Mathematical Model ◽  
Pension Fund ◽  
Pension System ◽  
Polynomial Interpolation ◽  
Pension Funds ◽  
Private Pension ◽  
The Stability ◽  
Corporate Social ◽  
Fund Investment ◽  
Interpolation Polynomials

Abstract Corporate social responsibility (CSR), as a concept that tackles economic, The introduction of private pension funds is the essence of the reform of the pension system in Serbia. Private pension funds in Serbia are based on voluntary benefits. Thus, the functioning of the pension system takes place in three interconnected processes: payments to a voluntary pension fund, investment of free funds, and ultimately programmed payments – pensions. The stability in the voluntary pension funds and the predictability of payments allow the quality of investment portfolio to be formed and achieve a long-term yield of investment. In this paper, we implement a well-known approximation method of Lagrange polynomial interpolation. We use it in order to find appropriate mathematical model for prediction of the number of fund members and the average salary in Serbia. This calculation is based on data (average salaries and fund member) from the last five years, i.e. from the period 2015-2019. We calculated the exact mathematical formula, then we compared the results and predictions obtained with that formula and with the formula from one of our previous works. In keeping with that, the appropriate conclusions were given..

A Pension Fund Problem; with some remarks on the deduction of Salary-scales

1908 ◽  
Vol 42 (1) ◽  
pp. 36-79 ◽  
Author(s):  
James Bacon
Keyword(s):  
Pension Fund ◽  
Pension Funds ◽  
Pension Scheme ◽  
Main Question ◽  
Fixed Rate ◽  
Current Income ◽  
New Entrants ◽  
The Stability ◽  
The City ◽  
Annual Charge

MR. T. G. ACKLAND, in the course of the discussion upon Mr. Manly's paper “On the Valuation of Staff Pension Funds”, presented the following problem for solution by the members of the Institute—” In the case of a superannuation fund, established—“ in connection with a municipality or corporation, to which the “employees contribute at a fixed rate, what will be the probable “annual charge upon the rates of the City during the next ten “years, during the following ten years, and so on for fifty years, “supposing that the present staff of the Corporation is adequate “in number for the needs of the Corporation, and that new “entrants come in only in replacement of those who die, “withdraw, or retire” ? (J.I.A., xxxvi, p . 283).It is sometimes the case that a commercial undertaking merely guarantees the stability of its staff pension fund, without making an adequate annual contribution from which to build up the reserve necessary to meet the actuarial liability, or, more usually, it is the practice of a corporation to meet the current claims under its pension scheme out of the current income from its employees' contributions and to use any excess of income in relief of the rates, and to charge any deficiency, when arising, upon the rates. In such cases the ordinary actuarial valuation is of little practical use, but the main question is that put by Mr. Ackland—“ What will be the charge upon the employer, or the rates, at a given date, or over a given period”?

scholarly journals Evaluación de un portafolio de inversión institucional: el caso de los fondos de pensiones en México

2017 ◽  
Vol 6 (12) ◽  
Author(s):  
Humberto Banda ◽  
Denise Gómez
Keyword(s):  
Performance Evaluation ◽  
Stock Market ◽  
Key Words ◽  
Mutual Fund ◽  
Fund Performance ◽  
Pension Funds ◽  
Mutual Fund Performance

Key words: Mutual fund performance, performance evaluation, pension funds, SIFORESSummary: The stock market in Mexico has changed in recent years. In this context, pension funds have played an important role. A good performance on pension funds, translates on stability for its members and also for the savings of a country. This paper assesses the performance of Mexican pension funds societies (SIEFORES) by using Sharpe, Treynor and Jensen ratios.Palabras clave: Fondos de pensiones, indicadores de evaluación, pensiones, SIEFORESResumen: El mercado de valores en México ha experimentado cambios importantes en los últimos años. En este contexto, los fondos de pensiones han desempeñado un papel fundamental. La evaluación de la gestión del portafolio de los fondos de pensiones cobra importancia debido a que el desempeño financiero de éstos condiciona el bienestar presente y futuro de sus afiliados. El presente estudio analiza el desempeño Sociedades de Inversión Especializadas en Fondos para el Retiro en México (SIEFORES) utilizando los índices de Sharpe, Treynor y Jensen.

Pension funds and corporate governance in developing countries: what do we know and what do we need to know?

2004 ◽  
Vol 3 (2) ◽  
pp. 197-232 ◽  
Author(s):  
MARIO CATALÁN
Keyword(s):  
Developing Countries ◽  
Corporate Governance ◽  
Stock Market ◽  
Pension Fund ◽  
Pension Funds ◽  
Market Development ◽  
Publicly Traded ◽  
Stock Market Development ◽  
Pension Reforms ◽  
Publicly Traded Firms

Conventional wisdom holds that pension reforms from pay-as-you-go to fully funded systems spur the development of stock markets through a corporate governance channel, i.e. pension funds become large shareholders of publicly traded firms and therefore have the incentives to monitor managers and improve investor protections. This paper reviews the literature on the corporate governance channel associated with pension reforms in developing countries, and asks what we know and need to know about it. We know that pension funds are not yet large shareholders of publicly traded firms in developing countries. However, econometric results suggest that pension reforms lead to stock market development, but do not allow us to identify and separate the corporate governance channel. We know that pension reforms are followed by pro-investor legislation, but there is no convincing evidence that the pro-investor laws are enforced. We need to know more about the effects of pension reform on stock prices and performance of publicly traded firms, and whether pension fund management companies act in the best interest of pensioners. The paper also reviews the political economy explanations of the links between pension fund specific capital controls and the corporate governance channel, and suggests that there is a trade-off between the objectives of pensioners' welfare maximization, and corporate governance reform and stock market development.

scholarly journals Herd behavior of pension funds in sovereign bond investments

2021 ◽  
pp. 1-27
Author(s):  
Ian Koetsier ◽  
Jacob A. Bikker
Keyword(s):  
Financial Market ◽  
Pension Fund ◽  
Debt Crisis ◽  
Pension Funds ◽  
Bond Market ◽  
Herd Behavior ◽  
Monthly Data ◽  
Sovereign Bond ◽  
Sovereign Bonds ◽  
European Debt Crisis

Abstract This study investigates herd behavior exhibited by pension funds in the sovereign bond market before, during and after the European debt crisis. It uses unique monthly data on sovereign bond holdings of pension funds and transactions between December 2008 and December 2014. The dataset covers 67 large Dutch pension funds that invest in bonds from 109 countries. We find evidence of intensive herd behavior of Dutch pension funds in sovereign bonds. We also distinguish between European countries which suffer from the European debt crisis, such as Cyprus, Greece, Ireland, Italy, Portugal and Spain, and those that have not. We find high sell herding and low buy herding for the crisis countries during the European debt crisis, whereas in the non-crisis period their herd behavior does not differ substantially from that in non-crisis countries. When we control for institutional, macroeconomic, financial market and pension fund factors, sell herding in crisis countries is still significantly higher. However, we find no evidence of destabilizing behavior with respect to bonds of crisis countries during the European debt crisis.

Determinants of Trading Decision: An Experiential Examination

GIS Business ◽  
2018 ◽  
Vol 13 (1) ◽  
pp. 1-9
Author(s):  
Gunjan Sharma ◽  
Tarika Singh ◽  
Suvijna Awasthi
Keyword(s):  
Stock Market ◽  
Capital Markets ◽  
Capital Market ◽  
Capital Mobility ◽  
Influential Factors ◽  
Herd Behavior ◽  
Human Beings ◽  
The Past ◽  
The Government ◽  
Indian Stock Market

In the midst of increasing globalization, the past two decades have observed huge inflow of outside capital in the shape of direct and portfolio investment. The increase in capital mobility is due to contact between the different economies across the globe. The growing liberalization in the capital market leads to the growth of various financial products and services. Over the past decade, the Indian capital market has witnessed numerous changes in the direction of developing the capital markets more robust. With the growing Indian economy, the larger inflow of funds has been fetched into the capital markets. The government is continuously working on investor’s education in order to increase retail participation in the Indian stock market. The habits of the risk-averse middle class have been changing where these investors started participating in the Indian stock market. It is an explored fact that human beings are irrational and considering this fact becomes imperative to investigate factors that influence the trading decisions. In this research, ‘an attempt has been made to investigate various factors that affect the individual trading decision’. The data has been collected from various stockbroking firms and from clients of those stockbroking firms their opinions were recorded by means of a questionnaire. Data collected through the structured questionnaire, 33 questions were prepared which was given to the 330 respondents on the basis of convenience sampling out of which 220 individuals filled questionnaire, the total of 200 questionnaires was included in the study after eliminating the incomplete questionnaire. Various factors are being explored from the literature and then with the help of factor analysis some of the most influential factors have been explored. Factors like overconfidence, optimism, cognitive bias, herd behavior, advisory effect, and idealism are the factors which influenced the trading decision of the investors the most. Such kind of a study is contributing in the area of behavioral finance as a trading decision is an important aspect while investing in the stock market. And this kind of study would be helping and assisting financial advisors to strategies for their clients in making the right allocation and also the policy maker and market regulators to come up with better reforms for the Indian stock markets.

Two decades after the published evidence of herd behavior in the Vietnam stock market

2020 ◽  
Author(s):  
Quan-Hoang Vuong
Keyword(s):  
Stock Market ◽  
Herd Behavior ◽  
Published Evidence

André died in 2017, but our joint publications continue to live.

Schweizer Wald als Geldanlage: Win-win-Strategie für Waldwirtschaft und Pensionskassen? (Essay) | Swiss forest as an investment opportunity: a win-win situation for both the forestry sector and pension funds? (Essay)

2011 ◽  
Vol 162 (2) ◽  
pp. 27-31
Author(s):  
Daniel Häuptli
Keyword(s):  
Value Chain ◽  
Pension Fund ◽  
Pension Funds ◽  
Literature Analysis ◽  
Forest Land ◽  
Investment Opportunity ◽  
Existing Problems ◽  
Monetary Value ◽  
Forestry Sector ◽  
The One

Could there be a win-win situation for both pension funds and the Swiss forestry sector? On the one hand, developments in the forestry sector suggest that the Swiss forest presents a new lucrative investment opportunity. If this is so, then pension funds could be particularly interested, as the low correlation between Swiss forest and other classes of investment, and the long investment periods involved are ideal for pension fund portfolios. On the other hand, large investments made by pension funds could mean that existing problems in Swiss forestry, in connection with its fragmented nature, could be more rapidly solved, and the potential for rationalization in the wood value chain could be fully realized. This would in turn make investments in the forest even more profitable. This hypothesis was investigated through a comprehensive literature analysis, yield calculations for private forestry enterprises of over 50 ha made by the Swiss Federal Office for Statistics 2004–2008, and an interview with the investments director of a large Swiss pension fund. Despite the optimistic assumption that the greater efficiency gained by the investment of pension funds into the forestry sector could lead to costs lower by 50% and a 20% increase in profits, the hypothesis must be rejected, because a calculated annual return of only 0.82% is too low for pension funds. The conclusion is that the price for forest land is high, and forest owners are not only interested in the monetary value of holding forest. Other immaterial values influence prices. It is suggested that a greater emphasis on socioscientific studies concerning the link between the price of forest land and the motivation to buy and sell forest could lead to some important findings.

Sign in / Sign up

Export Citation Format

Share Document