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Financial behaviour of Dutch pension funds: a disaggregated approach

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Author Info
Jan Kakes

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Abstract

This paper examines the financial behaviour of 77 Dutch pension funds during 2002-2005. Using microdata, we investigate differences across various types of funds. Both the asset mix and the degree of home bias are related to the size of pension funds: large institutions invest more in equity and hold more foreign assets than smaller ones. Especially for industry-wide funds, bonds and equity transactions are consistent with rebalancing a strategically fixed asset mix. Finally, in the case of company-linked funds, a deterioration in the funding ratio is counteracted by a rapid increase in pension contributions. This response cannot be observed for industry-wide funds.

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Paper provided by Netherlands Central Bank, Research Department in its series DNB Working Papers with number 108.

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Date of creation: Aug 2006
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Handle: RePEc:dnb:dnbwpp:108

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Web page: http://www.dnb.nl/en/
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Related research
Keywords: pension funds; ageing;

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Find related papers by JEL classification:
G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions
J26 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Retirement; Retirement Policies

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Anil K. Kashyap & Jeremy C. Stein, 2000. "What Do a Million Observations on Banks Say about the Transmission of Monetary Policy?," American Economic Review, American Economic Association, vol. 90(3), pages 407-428, June. [Downloadable!] (restricted)
  2. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2004. "Market Impact Costs of Institutional Equity Trades," DNB Staff Reports (discontinued) 125, Netherlands Central Bank. [Downloadable!]
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  1. Jacob A. Bikker & Dirk W.G.A. Broeders & Jan de Dreu, 2007. "Stock market performance and pension fund investment policy: rebalancing, free float, or market timing?," DNB Working Papers 154, Netherlands Central Bank, Research Department. [Downloadable!]
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