REVIEW OF FINANCIAL STUDIES·DOI: https://doi.org/10.1093/rfs/hhx020·Published: 20 April 2017

养老基金资产配置和负债折现率

作者：Aleksandar Andonov (Erasmus University Rotterdam), Rob M.M.J. Bauer (Maastricht University and International Centre for Pension Management), K.J. Martijn Cremers (University of Notre Dame)

摘要：美国公共养老基金的独特监管将其负债折现率与预期资产收益率挂钩，从而激励他们更多地投资于风险资产，以呈现出更好的资金状况。比较美国、加拿大和欧洲的公共和私人养老基金，我们发现美国的公共养老基金对其监管激励措施做出了反应。参与者资金更加不足的美国公共养老基金，以及拥有更多政客参与者和在董事会任职的当选计划参与者的基金，承担了更多的风险和更高的贴现率。美国公共基金增加的风险与其业绩呈负相关关系。

Pension Fund Asset Allocation and Liability Discount Rates

Aleksandar Andonov (Erasmus University Rotterdam), Rob M.M.J. Bauer (Maastricht University and International Centre for Pension Management), K.J. Martijn Cremers (University of Notre Dame)

ABSTRACT

The unique regulation of U.S. public pension funds links their liability discount rate to the expected return on assets, which gives them incentives to invest more in risky assets in order to report a better funding status. Comparing public and private pension funds in the United States, Canada, and Europe, we find that U.S. public pension funds act on their regulatory incentives. U.S. public pension funds with a higher level of underfunding per participant, as well as funds with more politicians and elected plan participants serving on the board, take more risk and use higher discount rates. The increased risk-taking by U.S. public funds is negatively related to their performance.

原文链接：

https://academic.oup.com/rfs/article-abstract/doi/10.1093/rfs/hhx020/3745296/Pension-Fund-Asset-Allocation-and-Liability?redirectedFrom=fulltext

翻译：何杉