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The importance of asset allocation in Spanish equity pension plans

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  • ANDREU, LAURA
  • FERRUZ, LUIS
  • VICENTE, LUIS

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  • Andreu, Laura & Ferruz, Luis & Vicente, Luis, 2010. "The importance of asset allocation in Spanish equity pension plans," Journal of Pension Economics and Finance, Cambridge University Press, vol. 9(01), pages 129-142, January.
  • Handle: RePEc:cup:jpenef:v:9:y:2010:i:01:p:129-142_00
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    References listed on IDEAS

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    1. Irwin Tepper, 1981. "Taxation and Corporate Pension Policy," NBER Working Papers 0661, National Bureau of Economic Research, Inc.
    2. John Y. Campbell & Luis M. Viceira, 1999. "Consumption and Portfolio Decisions when Expected Returns are Time Varying," The Quarterly Journal of Economics, Oxford University Press, vol. 114(2), pages 433-495.
    3. Erik R. Sirri & Peter Tufano, 1998. "Costly Search and Mutual Fund Flows," Journal of Finance, American Finance Association, vol. 53(5), pages 1589-1622, October.
    4. Tepper, Irwin, 1981. "Taxation and Corporate Pension Policy," Journal of Finance, American Finance Association, vol. 36(1), pages 1-13, March.
    5. Leslie E. Papke, 1991. "The Asset Allocation of Private Pension Plans," NBER Working Papers 3745, National Bureau of Economic Research, Inc.
    6. Campbell, John Y & Shiller, Robert J, 1988. " Stock Prices, Earnings, and Expected Dividends," Journal of Finance, American Finance Association, vol. 43(3), pages 661-676, July.
    7. John Y. Campbell & Robert J. Shiller, 2001. "Valuation Ratios and the Long-run Stock Market Outlook: An Update," Cowles Foundation Discussion Papers 1295, Cowles Foundation for Research in Economics, Yale University.
    8. Wachter, Jessica A., 2002. "Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(01), pages 63-91, March.
    9. Haliassos, Michael & Bertaut, Carol C, 1995. "Why Do So Few Hold Stocks?," Economic Journal, Royal Economic Society, vol. 105(432), pages 1110-1129, September.
    10. Melanie Cao & Shouyong Shi, 2001. "Screening, Bidding, and the Loan Market Tightness," Review of Finance, European Finance Association, pages 21-61.
    11. McCarthy, David & Miles, David K, 2007. "Optimal Portfolio Allocation for Corporate Pension Funds," CEPR Discussion Papers 6394, C.E.P.R. Discussion Papers.
    12. Nicholas Barberis, 2000. "Investing for the Long Run when Returns Are Predictable," Journal of Finance, American Finance Association, vol. 55(1), pages 225-264, February.
    13. Michael Useem & Olivia S. Mitchell, "undated". "Holders of the Purse Strings: Governance and Performance of Public Retirement Systems," Pension Research Council Working Papers 2000-3, Wharton School Pension Research Council, University of Pennsylvania.
    14. Joshua Rauh, 2007. "Risk Shifting versus Risk Management: Investment Policy in Corporate Pension Plans," NBER Working Papers 13240, National Bureau of Economic Research, Inc.
    15. Kandel, Shmuel & Stambaugh, Robert F, 1996. " On the Predictability of Stock Returns: An Asset-Allocation Perspective," Journal of Finance, American Finance Association, vol. 51(2), pages 385-424, June.
    16. Campbell, John Y. & Viceira, Luis M., 2002. "Strategic Asset Allocation: Portfolio Choice for Long-Term Investors," OUP Catalogue, Oxford University Press, number 9780198296942.
    17. Coronado, Julie L. & Engen, Eric M. & Knight, Brian, 2003. "Public Funds and Private Capital Markets: The Investment Practices and Performance of State and Local Pension Funds," National Tax Journal, National Tax Association, vol. 56(3), pages 579-594, September.
    18. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    19. Bakshi, Gurdip S & Chen, Zhiwu, 1994. "Baby Boom, Population Aging, and Capital Markets," The Journal of Business, University of Chicago Press, vol. 67(2), pages 165-202, April.
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    Cited by:

    1. Ales S. BERK & Mitja COK & Marko KOSAK & Joze SAMBT, 2013. "CEE Transition from PAYG to Private Pensions: Income Gaps and Asset Allocation," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(4), pages 360-381, August.

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