Improving investment performance for pension plans

Mulvey, John M.; Simsek, Koray D.; Zhang, Zhuojuan

doi:10.1057/palgrave.jam.2240206

Cited by 19 publications

(8 citation statements)

References 7 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In model (3), we include the same control variables as in model (2) except that we use levels and include a variable for the presence of pension funds or endowment funds in year t − 1 to control for any base effect. 11 We use Datastream's percentage of strategic shares held by pension funds or endowment funds to measure equity held by long-term investors because pension and endowment funds have long time horizons (e.g., Cassandra, 1993;Mulvey, Simsek, & Zhuojuan, 2006). An alternative classification of institutional investors is based on Bushee (2001) and Bushee and Noe (2000) which classifies investors into transient, dedicated and quasi-indexers but which relies on SEC filings by institutional investors (form 13F) and only covers US-based institutional investors.…”

Section: Regression Discontinuity Design Using Robecosam Csr Percenmentioning

confidence: 99%

Do investors actually value sustainability indices? Replication, development, and new evidence on CSR visibility

Durand

Paugam

Stolowy

2019

Strategic Management Journal

141

View full text Add to dashboard Cite

Research Summary In this study, we replicate and expand Hawn et al.’s study (Strategic Management Journal, 2018, 39, 949–976) that used Dow Jones Sustainability World Index (DJSI) events to measure variations in firms' Corporate Social Responsibility (CSR)‐activism and examined their effect on a firm's stock price. We use DJSI events to capture variations in firms' CSR visibility, holding CSR activism constant by restricting our analyses to CSR‐equivalent firms. First, we find similar results on stock price (i.e., no impact) and on trading volumes. Second, because professional market participants pay more attention to CSR‐oriented firms and use visible cues such as DJSI events, we study and find that additions to DJSI lead to more analysts following a firm, and that continuations on the DJSI lead to an increase in equity being held by long‐term investors. Managerial Summary We replicate and complement a recent study that showed that the events of a firm's addition, continuation, or deletion in a major sustainability index (DJSI) had little impact on stock market reactions (Hawn et al. Strategic Management Journal, 2018, 39, 949–976). We redefine the comparison set that was previously used and compare across observationally equivalent firms in terms of CSR orientation in order to isolate the visibility effect of DJSI events. We find that these events do not significantly impact stock price and trading volumes. However, we expand the analysis and find that sustainability events attract more attention from financial analysts and lead to an increase in the percentage of shares held by long‐term investors indicative of a trend that professional investors pay more attention to CSR‐visible firms over time.

show abstract

Section: Regression Discontinuity Design Using Robecosam Csr Percenmentioning

confidence: 99%

Do investors actually value sustainability indices? Replication, development, and new evidence on CSR visibility

Durand

Paugam

Stolowy

2019

Strategic Management Journal

141

View full text Add to dashboard Cite

show abstract

“…Nevertheless, in Mulvey et al (2006) the authors suggest again a multiperiod model to increase the understanding of risk and reward in a long-term horizon framework for pension plans and other long-term investors, see also Mulvey et al (2007Mulvey et al ( , 2008. Comprehensive collections are in Ziemba and Mulvey (1998) and Zenios andZiemba (2006, 2007).…”

Section: Introductionmentioning

confidence: 99%

Pension fund management with hedging derivatives, stochastic dominance and nodal contamination

Moriggia

Kopa²,

Vitali³

2019

Omega

View full text Add to dashboard Cite

“…See e.g. Mulvey et al (2006Mulvey et al ( , 2007 who argue that multi-period investment models combined with Monte Carlo simulation can address important considerations for long-term investors, and Ferstl and Weissensteiner (2010) who present a stochastic linear programming model for optimal asset allocation in a situation where a financial company wishes to minimize the conditional value at risk. Nevertheless, applying stochastic programming or other numerical approaches to find the optimal decisions from the individual investors' point of view can also be found in the literature.…”

Section: Introductionmentioning

confidence: 99%

A combined stochastic programming and optimal control approach to personal finance and pensions

et al. 2014

View full text Add to dashboard Cite

Improving investment performance for pension plans

Cited by 19 publications

References 7 publications

Do investors actually value sustainability indices? Replication, development, and new evidence on CSR visibility

Do investors actually value sustainability indices? Replication, development, and new evidence on CSR visibility

Pension fund management with hedging derivatives, stochastic dominance and nodal contamination

A combined stochastic programming and optimal control approach to personal finance and pensions

Contact Info

Product

Resources

About