Aging, Asset Allocation, and Costs : Evidence for the Pension Fund Industry in Switzerland

Author/Editor:

David S. Gerber ; Rene Weber

Publication Date:

February 1, 2007

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

This paper focuses on the nexus between pension funds' balance sheet liabilities, reflecting their age profile and payments obligations, and the investment behavior and costs of these funds. The context of the analysis is the stringent regulatory framework and the highly fragmented and heterogeneous pension fund landscape in Switzerland. Detailed data from the Swiss Pension Statistic are analyzed using multivariate OLS-regressions. The evidence shows that a younger age structure and lower short-term benefits payouts are related to a higher share of equities and lower real estate holdings. Legal form, pension plan type, and size are important for administrative costs. The findings support the view that aging may lead to increased risk aversion and thus to a lower engagement of institutional investors in equities.

Series:

Working Paper No. 07/29

Subject:

English

Publication Date:

February 1, 2007

ISBN/ISSN:

9781451865936/1018-5941

Stock No:

WPIEA2007029

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

27

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