nr 108 - Financial behaviour of Dutch pension funds: a disaggregated approach

DNB Working Papers
Date 3 August 2006
This paper examines the financial behaviour of 77 Dutch pension funds during 2002-2005. Using microdata, we investigate differences across various types of funds. Both the asset mix and the degree of home bias are related to the size of pension funds: large institutions invest more in equity and hold more foreign assets than smaller ones. Especially for industry-wide funds, bonds and equity transactions are consistent with rebalancing a strategically fixed asset mix. Finally, in the case of company-linked funds, a deterioration in the funding ratio is counteracted by a rapid increase in pension contributions. This response cannot be observed for industry-wide funds. JEL codes: G23, J26. Key words: pension funds, ageing