Journal of Financial Markets, Available online 21 March 2017, In Press, Accepted Manuscript

旅鼠的市场：养老基金羊群行为

作者：David Blakea(Cass Business School, City University of London, London), Lucio Sarnob(Cass Business School, City University of London, and Centre for Economic Policy Research (CEPR), London), Gabriele ZinnaPensions Institute(Bank of Italy, Rome)

摘要：通过使用涵盖英国固定收益养老基金过去25年间资产配置的独有数据，我们提供了显示出养老基金强烈的羊群行为的稳健证据，且其倾向于在由基金规模和赞助者类型定义的子群中集聚。我们同时发现，债务到期时基金倾向于由权益向债券转换，但他们也会在短期内机械性地重新调整投资组合。最后，我们发现这些投资行为的价格影响既不稳定也不持久，养老基金横截面的收益差别很小，这与他们普遍的羊群行为一致。

关键词：机构投资者；养老基金；羊群行为；组合重调

The market for lemmings: The herding behavior of pension funds

David Blakea(Cass Business School, City University of London, London), Lucio Sarnob(Cass Business School, City University of London, and Centre for Economic Policy Research (CEPR), London), Gabriele ZinnaPensions Institute(Bank of Italy, Rome)

ABSTRACT

Using a unique dataset that covers UK defined-benefit pension fund asset allocations over the past 25 years, we provide robust evidence that pension funds display strong herding behavior, and tend to herd in subgroups defined by fund size and sponsor type. We also show that, while pension funds tend to switch from equities to bonds as their liabilities mature, they mechanically rebalance their portfolios in the short term. Finally, we find that their price impact is neither persistent nor stabilizing, and that there are only small cross-sectional differences in returns across pension funds, consistent with their widespread herding behavior.

Keywords：Institutional investors; Pension funds; Herding; Portfolio rebalancing

原文链接： http://www.sciencedirect.com/science/article/pii/S1386418116301239

翻译：黄怡文