February 2021
05Feb

Counter-Hegemonic Finance: The Gamestop Short Squeeze

By Usman W. Chohan The events that surrounded the short squeeze of various downtrodden stocks such as Gamestop (GME) allude to a counter-hegemonic financial effort, with small-scale investors pooling in to sabotage the short-positions of large Wall Street players such as hedge funds. This paper frames these events in terms of public reprisal for the 2008 Global Financial Crisis (GFC) and public contempt for insular financial private interest. The discussion suggests that such people-power initiatives, abetted by powerful elite...

February 5, 2021
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05Feb

Portfolio Management for Insurers and Pension Funds and COVID-19: Targeting Volatility for Equity, Balanced and Target-Date Funds with Leverage Constraints

By Bao Huy Doan, Jonathan J. Reeves, Michael Sherris Insurers and pension funds face the challenges of historically low interest rates and volatility in equity markets, that have been accentuated due to the COVID-19 pandemic. Recent advances in equity portfolio management with a target volatility have been shown to deliver improved on average risk adjusted return, after transaction costs. This paper studies these targeted volatility portfolios in applications to equity, balanced and target-date funds with varying constraints on leverage....

February 5, 2021
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January 2021

29Jan

Unearned Income and Labor Supply: Evidence from Survivor Pensions in Austria

By René Böheim, Michael Topf We study the effect of lower unearned income on labor supply. To identify the causal effect of an unexpected reduction in unearned income, we exploit a policy reform that lowered survivor pensions in Austria. Men widowed after the survivor pension reform received an approximately 34% lower survivor pension than men widowed before the reform. We follow the employment history of both groups for 150 months and estimate the reform’s effect on labor supply using...

January 29, 2021
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29Jan

Robots and Labor in the Service Sector: Evidence from Nursing Homes

By Karen Eggleston, Yong Suk Lee, Toshiaki Iizuka In one of the first studies of service sector robotics using establishment-level data, we study the impact of robots on staffing in Japanese nursing homes, using geographic variation in robot subsidies as an instrumental variable. We find that robot adoption increases employment by augmenting the number of care workers and nurses on flexible employment contracts, and decreases difficulty in staff retention. Robot adoption also reduces the monthly wages of regular nurses,...

January 29, 2021
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29Jan

Portfolio Management for Insurers and Pension Funds and COVID-19: Targeting Volatility for Equity, Balanced and Target-Date Funds with Leverage Constraints

By Bao Huy Doan, Jonathan J. Reeves, Michael Sherris Insurers and pension funds face the challenges of historically low interest rates and volatility in equity markets, that have been accentuated due to the COVID-19 pandemic. Recent advances in equity portfolio management with a target volatility have been shown to deliver improved on average risk adjusted return, after transaction costs. This paper studies these targeted volatility portfolios in applications to equity, balanced and target-date funds with varying constraints on leverage....

January 29, 2021
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21Jan

Executive Compensation: The Trend Toward One Size Fits All

By Felipe Cabezon This paper reports the prevalence of a “one-size-fits-all” trend in the structure of executive compensation plans. The way firms distribute total compensation across different components of pay –salary, bonus, stock awards, option awards, non-equity incentives, pensions, and perquisites– is becoming more similar since 2006. In particular, 25% of the variation across firms disappeared in the last ten years. Using close votes surrounding Say-on-Pay’s implementation, I find that shareholders’ influence on management decisions causes part of this...

January 21, 2021
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21Jan

The Benefit of Diversified Guaranteed Income for Retirees: Combining Immediate Fixed and Immediate Variable Annuities

By David Blanchett This paper explores the potential benefits of developing a retirement income that considers both immediate fixed annuities (IFA) and immediate variable annuities (IVA) using a stochastic utility model combined with a scenario framework. Optimal annuity allocations vary considerably across household type, but certainty equivalent retirement income increases by 20 percent, on average, when incorporating annuities. Total annuity allocations increase when both IFAs and IVAs are considered, and retirees realize only approximately two-thirds of the benefits of...

January 21, 2021
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21Jan

Olivia S. Mitchell, PhD: Calibrating Retirement Planning with Current Conditions

By Olivia S. Mitchell In September 2020, Robert Powell, editor-in-chief of the Retirement Management Journal, Jason Fichtner, PhD, senior lecturer at the Johns Hopkins University; and Anna Rappaport, FSA, MAAA, chair of the Society of Actuaries Committee on Post-Retirement Needs and Risks, spoke with Mitchell about how longer lifespans and prolonged retirement periods are requiring adjustments to Social Security benefits, employee pension plans, and individual retirement savings. Source: SSRN

January 21, 2021
Adequacy, Aging, Articles, Pension design, , ,
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14Jan

Maximizing Utility of Withdrawals in Retirement and the Efficiency of Required Minimum Distributions

By Chester Chambers We focus on a simplified problem for a risk-averse retiree seeking to maximize utility associated with annual spending and a remaining value at the end of the problem horizon when the funds are extracted from a portfolio that includes a risk-free and a risky asset. To organize discussions about this setting we utilize a novel metric which we label “Efficiency”. This measurement compares the utility derived from annual withdrawals and the final value with a benchmark...

January 14, 2021
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14Jan

How Poor Bangladeshi Households Behave Regarding Access to Commitment Savings Products

By Carolina Laureti, Mélanie Volral Access to commitment savings products is known to increase poor households’ savings. In this paper we analyze the process through which households change their savings behavior, by exploiting a unique dataset released by SafeSave, a Bangladeshi microfinance institution that launched the Long Term Savings commitment product in 2009. First, we find that households increase their savings a few months before they open the commitment product. Then, distinguishing early takers (who take up the commitment...

January 14, 2021
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