Webinar: Inquire Europe sponsored researchSeminar
Dr. Kristy Jansen (Tilburg University, De Nederlandsche Bank) will present on heterogeneity in the investment strategies of pension funds with similar objectives.
“Pension Funds and Drivers of Heterogeneous Investment Strategies”
Authors: Dirk Broeders (Maastricht University, De Nederlandsche Bank) and Kristy Jansen (Tilburg University, De Nederlandsche Bank)
Date:16 February 2021
Time: 16:00 CET
The primary objective of the study is to measure the heterogeneity in investment strategies across pension funds, the drivers of this heterogeneity, and the effects it has on expected retirement income. Bias-free data is used to measure the funds’ investment strategies through factor exposures within equity and fixed income portfolios. Consistent with the model developed by the researchers, they find that the funding ratio, risk aversion, and liability duration partially explain heterogeneity in factor exposures. The remaining heterogeneity reflects an annual expected return difference of 0.70-1.50 percentage points that is attributed to differences in beliefs that pension funds reveal through contracting asset management firms. This finding shows that this has important economic implications for beneficiaries who cannot freely choose a pension fund.
About the presenter
Dr. Kristy Jansen
Lecturer, Tilburg University and Data Scientist, De Nederlandsche Bank
Kristy studies the investment decisions of long-term investors such as pension funds and insurance companies. In particular, she investigates how regulation affects investment decisions and how these decisions subsequently influence asset prices. Kristy obtained her Bachelor degree in Econometrics, Master degree in Quantitative Finance and Actuarial Science, and Research Master degree in Finance from Tilburg University. She will defend her PhD thesis at Tilburg University in January 2021. Currently, she is a lecturer at Tilburg University and a data scientist at De Nederlandsche Bank.