This paper models policy responses to changes in solvency by Dutch occupational pension funds using a unique panel dataset containing the balance sheets of all registered pension funds in the Netherlands over a period of 15 years (1993-2007). The model describes how nominal pension rights are...

Using recovery plan data of 213 underfunded Dutch pension funds for the years 2011, 2012 and 2013, discrete choice models are estimated describing pension funds' choices between three recovery measures: higher contributions, no indexation, and pension cuts. The estimation results suggest,...

I use detailed data on bond and swap positions of pension funds and insurance companies (P&Is) in the Netherlands to study demand shifts and their causal effect on government bond yields. In particular, I exploit a reform in the regulatory discount curve that makes liabilities more sensitive to...

Using nascent euro area green bond markets as an experimental set-up, we are able to show that home bias is a universal phenomenon. Exploiting dynamics around the scarcity of an asset class, we show that investors tend to turn to their domestic market as soon as their home market becomes...

This study investigates herding behaviour exhibited by Dutch pension funds in the sovereign bond market. It uses a unique dataset on sovereign bond holdings of pension funds, mutations and transactions between December 2008 and December 2014. It covers 67 large Dutch pension funds that invest in...

We analyze the relation between investment returns and performance fees for 218 Dutch occupational pension funds with an average total of 985 billion euro in assets under management from 2012 to 2015. Our dataset is free from self-reporting biases and includes total return, excess return and...

Using a comprehensive dataset on issuances and holdings of contingent convertible debt instruments (CoCos) issued by European banks we investigate who invests in European CoCos. The results indicate that most European CoCos are not directly held by euro area investors. Foreign investors outside...

Using regulatory data that are free of self-reporting bias for 2007-2016, we decompose investment returns of 455 Dutch pension funds according to their key investment decisions, i.e. asset allocation, market timing and security selection. In extension to existing papers, we also assess the...

This study investigates asset herd behavior for Dutch pension funds from 1999 to 2014 using quarterly data. We find considerable asset class herd behavior, which is more intensive for the more ‘exotic' sub-asset classes, such as private equity and emerging market shares. We find higher buy...

We investigate how counterparty credit risk influences the prices of over-the-counter CDS contracts using confidential transaction level data for practically all Dutch trades. We confirm our prior of a significant negative relationship between the credit worthiness of the CDS seller and the...