The authors would like to thank Jack Bekooij for excellent research assistance, and two anonymous referees, Lans Bovenberg, Paul Cavelaars, Willem Heeringa, Klaas Knot, Theo Nijman, Frans de Roon, Bert Stroop, and participants in lunch seminars of Netspar (University of Tilburg, April 16, 2009), DNB (April 21, 2009), “Amsterdams Instituut voor Arbeidsstudies” (AIAS, April 23, 2009), SEO (University of Amsterdam, July 6, 2009), and Netspar Pension Day (November 13, 2009) for helpful comments. The views expressed in this article are personal and do not necessarily reflect those of DNB or APG.
Pension Funds’ Asset Allocation and Participant Age: A Test of the Life-Cycle Model
Article first published online: 13 SEP 2011
© The Journal of Risk and Insurance, 2012
Journal of Risk and Insurance
Volume 79, Issue 3, pages 595–618, September 2012
How to Cite
Bikker, J. A., Broeders, D. W. G. A., Hollanders, D. A. and Ponds, E. H. M. (2012), Pension Funds’ Asset Allocation and Participant Age: A Test of the Life-Cycle Model. Journal of Risk and Insurance, 79: 595–618. doi: 10.1111/j.1539-6975.2011.01435.x
- Issue published online: 22 AUG 2012
- Article first published online: 13 SEP 2011
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.