Journal of Financial Markets·Volume 36·November 2017

旅鼠市场：养老基金的羊群行为

作者：David Blake（Pensions Institute, Cass Business School, University of London）

Lucio Sarno（Cass Business School, University of London, and Centre for Economic Policy Research (CEPR)）

Gabriele Zinna（Bank of Italy）

摘要：使用涵盖过去25年英国固定收益型养老基金资产配置的独特数据集，我们提供了有力的证据，证明养老基金表现出强烈的羊群行为，并群集在按照基金规模和发起人类型定义的子群体中。我们还表明，尽管养老基金在债务到期时倾向于从股票转向债券，但他们在短期内机械地调整其投资组合。最后，我们发现它们的价格影响既不是持续的，也不是稳定的，而且养老基金的回报只有很小的横截面差异，与广泛的羊群行为一致。

关键词：机构投资者，养老基金，羊群效应，投资组合再平衡

The market for lemmings: The herding behavior of pension funds

David Blake（Pensions Institute, Cass Business School, University of London）

Lucio Sarno（Cass Business School, University of London, and Centre for Economic Policy Research (CEPR)）

Gabriele Zinna（Bank of Italy）

ABSTRACT

Using a unique dataset that covers United Kingdom defined-benefit pension fund asset allocations over the past 25 years, we present 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：何杉