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Essays on401(k) asset management.

Yamaguchi, Takeshi.

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Essays on401(k) asset management.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Essays on401(k) asset management./
Author:	Yamaguchi, Takeshi.
Description:	110 p.
Notes:	Adviser: Olivia S. Mitchell.
Contained By:	Dissertation Abstracts International68-04A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3261011

Essays on401(k) asset management.
Yamaguchi, Takeshi.

Essays on401(k) asset management. - 110 p.

Adviser: Olivia S. Mitchell.

Thesis (Ph.D.)--University of Pennsylvania, 2007.

In the first chapter of this dissertation, we investigate the determinants of trading activities in defined contribution (DC) pension plans. Using a rich new dataset on 1.2 million workers in over 1,500 plans, we find that most DC plan participants are characterized by profound inertia. Almost all participants (80%) initiate no trades, and an additional 11% makes only a single trade, in a two-year period. Even among traders, portfolio turnover rates are one-third the rate of professional money managers. Those who trade in their DC plans are more affluent older men, with higher incomes and longer job tenure. They tend to use the internet for DC plan account access, hold a larger number of investment options, and are more likely to hold active equity funds rather than index or lifecycle funds. Some plan features, including offering own-employer stock, also raise trading levels.Subjects--Topical Terms:

626650
Economics, Finance.

Essays on401(k) asset management.
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035 $a (UMI)AAI3261011
035 $a AAI3261011
040 $a UMI $c UMI
100 1 $a Yamaguchi, Takeshi. $3 1280542
245 1 0 $a Essays on401(k) asset management.
300 $a 110 p.
500 $a Adviser: Olivia S. Mitchell.
500 $a Source: Dissertation Abstracts International, Volume: 68-04, Section: A, page: 1592.
502 $a Thesis (Ph.D.)--University of Pennsylvania, 2007.
520 $a In the first chapter of this dissertation, we investigate the determinants of trading activities in defined contribution (DC) pension plans. Using a rich new dataset on 1.2 million workers in over 1,500 plans, we find that most DC plan participants are characterized by profound inertia. Almost all participants (80%) initiate no trades, and an additional 11% makes only a single trade, in a two-year period. Even among traders, portfolio turnover rates are one-third the rate of professional money managers. Those who trade in their DC plans are more affluent older men, with higher incomes and longer job tenure. They tend to use the internet for DC plan account access, hold a larger number of investment options, and are more likely to hold active equity funds rather than index or lifecycle funds. Some plan features, including offering own-employer stock, also raise trading levels.
520 $a Next, we explore the determinants of investment performance in retirement accounts. The conventional view is that periodic rebalancing is required for optimal accumulation patterns. Our evidence confirms that rebalancers in 401(k) accounts perform better than those fail to rebalance. Passive rebalancers, i.e., who only hold balanced funds, earn 85 basis points per year more than other nontraders. Active rebalancers gain about 26 basis points annually compared to other traders. In other words, rebalancing improves participants' investment performance. Evidence from brokerage accounts suggests that many investors trade too much, a pattern associated with "overconfidence." In the 401(k) environment, we confirm that those with higher turnover ratios earn 72 basis points less than those with the lowest turnover ratio, consistent with the overconfidence view.
520 $a Finally, we examine how employee portfolio selection behavior changes when DC plan sponsors introduce life-cycle (LC) funds to the investment menu. Using difference-in-difference estimation methodology, we find that introducing LC funds does change asset allocation patterns, particularly for younger and female employees, as well as for those with shorter tenure, lower household income, and less financial wealth. Also, introducing LC funds boosts participants' equity exposure and improves their expected risk-adjusted returns. In addition, adding LC funds also reduces idiosyncratic risk for both participants and plans. Consequently, it would appear that plan sponsors can assist participants manage their retirement assets better by offering LC funds.
590 $a School code: 0175.
650 4 $a Economics, Finance. $3 626650
650 4 $a Economics, Labor. $3 1019135
690 $a 0508
690 $a 0510
710 2 $a University of Pennsylvania. $3 1017401
773 0 $t Dissertation Abstracts International $g 68-04A.
790 $a 0175
790 1 0 $a Mitchell, Olivia S., $e advisor
791 $a Ph.D.
792 $a 2007
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3261011