Pension Funds’ Asset Allocation and Participant Age: A Test of the Life‐Cycle Model
利用2007年荷兰养老基金投资计划的独特数据，研究发现参与者平均年龄每增加1岁，战略股权配置显著降低约0.5个百分点，且大型基金效应更强。
Abstract This article examines the impact of participants’ age distribution on the asset allocation of Dutch pension funds, using a unique data set of pension fund investment plans for 2007. Theory predicts a negative effect of age on (strategic) equity exposures. We observe that a 1‐year higher average age in active participants leads to a significant and robust reduction of the strategic equity exposure by around 0.5 percentage point. Larger pension funds show a stronger age‐equity exposure effect. The average age of active participants influences investment behavior more strongly than the average age of all participants, which is plausible as retirees no longer possess any human capital.