Asset pricing models such as the conditional CAPM are typically estimated with MLE using a monthly or quarterly horizon with data sampled to match the horizon even though daily data are available. We develop an overlapping data inference methodology (ODIN) that uses all of the data while...

We study inflation replication in European markets and find that investors can improve their inflation hedge by acquiring foreign inflation-linked derivatives on the international market. Although European inflation-linked bonds holdings have a substantial impact on the inflation hedging...

Trade in goods that are not perfect substitutes can considerably change the predictions of standard neoclassical models about the effects of asymmetric demographic developments. This paper considers a relative decrease in the population size of one country, when countries specialize in the...

Selective default is an event in which a sovereign issuer chooses not to meet obligations on a class of bonds, while servicing her other debt. This paper presents unique empirical evidence of selective default risk premium in inflation-linked sovereign bond (ILB) yields of Germany, France and...

This paper provides new evidence on individual preferences over annuities and lump sum payments based on hypothetical questions posed in the DNB Household Survey in 2005. Contrary to the majority of papers in the annuitization puzzle literature, this study allows to control explicitly for the...

Target-Date Funds (TDFs) are popular retirement investment vehicles that follow a predetermined schedule for rebalancing their mix of equity and fixed-income securities over time. We explore potential agency problems in TDFs by examining their return performance and their flow-performance...

Despite its importance for the analysis of life-cycle behavior and, in particular, retirement planning, stock ownership by private households is poorly understood. Among other approaches to investigate these puzzles, recent research has started to elicit private households’ expectations of...

This paper assesses the sophistication of pension funds’ investment policies using data on 748 Dutch pension funds during the 1999–2006 period. We develop three indicators of sophistication: gross rounding of investment choices, investments in alternative sophisticated asset classes and...

The paper investigates risk attitudes among different types of individuals. We use several di erent measures of risk attitudes, including questions on choices between uncertain income streams suggested by Barsky et al. (1997) and a number of ad hoc measures. As in Barsky et al. (1997) and...

This paper reviews the literature on the optimal design and regulation of funded pension schemes. We first characterize optimal saving and investment over an individual’s life cycle. Within a stylized modeling framework, we explore optimal individual saving and investing behavior....