Investor sophistication and risk taking
Investor sophistication and risk taking
复制标题
投资者的成熟度和风险承担能力
DOI：
10.1016/j.jbankfin.2012.03.023
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发表时间：
2012
影响因子：
3.7
通讯作者：
J. Bikker
中科院分区：
文献类型：
--
作者：
J. D. Dreu;J. Bikker
利用857家荷兰养老基金的投资政策数据，我们开发了衡量投资者成熟度的三个指标。这些指标表明，养老基金的战略投资组合选择往往基于粗略和不那么复杂的方法。首先，大多数养老基金将战略资产配置的倍数调至最接近的5%，类似于人口统计学和历史研究中的年龄堆积。其次，许多养老基金很少或根本不投资于另类、更复杂的资产类别，导致资产多样化有限。第三，许多养老基金青睐地区性投资，因此没有充分利用国际风险分散的机会。我们的指标与养老基金规模相关，这与规模较小的养老基金通常不如大型养老基金复杂的预期一致。使用衡量投资者成熟度的指标，我们发现，不那么成熟的养老基金倾向于选择风险较低的投资策略。
Using investment policy data of 857 Dutch pension funds, we develop three indicators of investor sophistication. The indicators show that pension funds’ strategic portfolio choices are often based on coarse and less sophisticated approaches. First, most pension funds round strategic asset allocations to the nearest multiple of 5%, similar to age heaping in demographic and historical studies. Second, many pension funds invest little or nothing in alternative, more complex asset classes, resulting in limited asset diversification. Third, many pension funds favour regional investments and as such do not fully employ the opportunities of international risk diversification. Our indicators are correlated with pension fund size, in line with the expectation that smaller pension funds are generally less sophisticated than large pension funds. Using the indicators for investor sophistication, we show that less sophisticated pension funds tend to opt for investment strategies with less risk.