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Financial behaviour of Dutch pension funds: a disaggregated approach

  • Jan Kakes

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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File URL: http://www.dnb.nl/binaries/Working%20Paper%20No%20108-2006_tcm46-146765.pdf
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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
Contact details of provider: Postal: Postbus 98, 1000 AB Amsterdam
Web page: http://www.dnb.nl/en/

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  1. 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.
  2. Jeremy C. Stein & Anil K. Kashyap, 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.
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