Pension plan funding and stock market efficiency

The paper argues that the market signifficantly overvalues firms with severely underfunded pension plans. These companies earn lower stock returns than firms with healthier pension plans for at least five years after the first emergence of the underfunding. The low returns are not explained by risk, price momentum, earnings momentum, or accruals. Further, the evidence suggests that investors do not anticipate the impact of the pension liability on future earnings, and they are surprised when the negative implications of underfunding ultimately materialize. Finally, underfunded firms have poor operating performance, and they earn low returns, although they are value companies.

Life-time redistribution effects of the Spanish public pension system

The paper analyses the inter and intragenerational redistribution effects ofthe public pensions system in Spain. This is achieved by first comparing the expected present value of life-time income transfers (PVT) and internalrates of return (IRR) of different population cohorts. Secondly, we study the intragenerational aspects of the Spanish public pensions by calculating PVTs the IRRs for workers of different categories, grouped by earnings, gender and marital status.The results obtained show the nature of the important intergenerational effects of the Social Security System in Spain. The oldest 1935 cohort clearlybenefits in relation to the youngest 1965 cohort. This is basically due to thegap between current wages and the contribution bases established in the 60s and 70s in Spain during the early stages of the Social Security System, and to the worsening shortfall in Social Security funding, combined with the longer of life expectancy.In addition, intragenerational effects exist by income levels. For contributors who pay between the minimum and the maximum allowable contribution bases, net transfers and rates of return are higher in actuarial terms for high incomecontributors. The social security `dealï is again more profitable for highincome individuals since they contribute at the maximum basis, with respect tolow income contributors at the minimum basis. This is due to the late entry and a higher survival rate for high income contributors.The system tends to favour women, given that they generally live longer than men and this factor is only partially offset by their lower wages. Married males, given the fact that they have longer life expectancy and leave a pension to their spouse, obtain higher present net transfers too than do single contributors.We close the paper with some comments on the slight impact and moderate effects of proposals for Social Security reform and on how these may change the previously observed redistribution effects.

Portable alphas from pension mispricing

We introduce a new dynamic trading strategy based on the systematic misspricing of U.S. companies sponsoring Defined Benefit pension plans. This portfolio produces an average return of 1.51% monthly between 1989 and 2004, with a Sharpe Ratio of 0.26. The returns of the strategy are not explained by those of primary assets. These returns are not related to those of benchmarks in the alternative investments industry either. Hence, we are in the presence of a "pure alpha" strategy that can be ported into a large variety of portfolios to significantly enhance their performance.

Report on a review of selected general and application controls over the Iowa Public Employees’ Retirement System (IPERS) I-Que Pension Administration System for the period March 24, 2009 through April 22, 2009

Report on a review of selected general and application controls over the Iowa Public Employees’ Retirement System (IPERS) I-Que Pension Administration System for the period March 24, 2009 through April 22, 2009

Reproductibilité et discussion des différents biais d'un questionnaire de fréquence alimentaire adapté à une population de femmes suisses âgées (>75ans)

Résumé: Un des domaines de prédilection de la recherche préventive en ostéoporose, est l'alimentation. L'étude « EVANIBUS » s'inscrit dans le cadre de cette recherche. Un de ses buts est de cibler à travers un questionnaire de fréquence alimentaire chez une population féminine âgée de plus de 75 ans, l'alimentation à risque pour l'ostéoporose. Le choix du questionnaire pour cette étude s'est porté sur le «Food Frequency Questionnaire», élaboré et validé sur une population pré-ménopausique écossaise par Susan New. Ce questionnaire se répartit en différents groupes et sous-groupes alimentaires. A l'aide de tables nutritionnelles les principaux micronutriments essentiels à la santé osseuse contenus dans lés sous-groupes alimentaires ont été calculés. Avant d'utiliser un questionnaire de fréquence alimentaire dans une population différente, il est nécessaire de procéder à une adaptation et une nouvelle validation du questionnaire. Cependant, cette procédure nécessite la collaboration d'un spécialiste en nutrition. Pour cette raison, seule la reproductibilité du questionnaire a été testée. Le test choisi est la première et deuxième étape du test de Bland-Altman. La reproductibilité s'établit entre les 2 mesures (1 mois d'intervalle) de la fréquence moyenne de consommation obtenue pour chaque item (groupes et sous-groupes alimentaires). Les résultats montrent que seule une minorité d'item présente une acceptation des 2 étapes du test de Bland-Altman. Pour expliquer cette mauvaise reproductibilité, les biais systématiques ont été mis en évidence et analysés en détails. Les erreurs dues à la méthodologie sont également analysées. Ces dernières sont en principe évitables. C'est l'absence d'adaptation du questionnaire qui semble en être la cause principale. A cet effet des mesures de correction sont proposées, telles qu'un pilotage du questionnaire dans un échantillon de la population cible. L'analyse du questionnaire relève également une diminution globale de la consommation lors de la deuxième mesure. On émet alors, l'hypothèse d'une influence météorologique par l'intermédiaire d'une hausse des températures.

Beyond the Toledo agreement : the intergenerational impact of the spanish pension reform

The paper examines the intergenerational impact of the Spanish public pension system after the 1997 Pension Reform Act. Working within a Generational Accounting framework, we find that maintaining the new legal setting could leave future generations with liabilities as high as 176 percent of base year GDP. As the recent reform measures have been insufficient to achieve the sustainability of the current pension system, we also analyse the impact of alternative reform strategies. Within the current pay-as-you-go setting, a further improvement to tax-benefit linkage in line with the original spirit of the Toledo Agreement is shown to yield and intergenerationally more balanced outcome,than an increase in the retirement age or an expansion of public subsidies financed through indirect taxes. Finally, we examine the generational impact of a move toward a partially funded pension system which might restore theintergenerational balance

Transitional effects of a pension system change in Spain

This paper studies the output effects, transition costs and the change in pension benefits derived from the substitution of the current unfunded pension system by a fully funded pension system financed through mandatory savings.These effects are estimated by using reduced versions of the neoclassical and endogenous growth frameworks. Because of the greater capital accumulation during the transition phase, final output increases by 23,6% (neoclassicalframework); and a 24,5-31,5% (endogenous growth framework). The initial revenue loss for the government would represent a 4,8% of the GDP, raising very slowly during the transition period. Given the new growth rates, rates of return ofphysical capital, and financial intermediation costs, we have that the capitalization pension benefits obtained by all 30-contribution-year worker would be more than twice than those that guarantee the financial sustainability of thepublic pension system

Report on a review of selected general and application controls over the Iowa Public Employees’ Retirement System (IPERS) Legacy and I-Que Pension Administration Systems for the period May 16, 2011 through June 16, 2011

Report on a review of selected general and application controls over the Iowa Public Employees’ Retirement System (IPERS) Legacy and I-Que Pension Administration Systems for the period May 16, 2011 through June 16, 2011

Adolescence, troubles du comportement alimentaire et groupe thérapeutique: une expérience

Les nombreuses demandes de consultation pour troubles du comportement alimentaire atypiques au sein d'une consultation de santé des adolescents ont incité une réflexion sur cette psychopathologie « nouvelle », ainsi qu'une proposition de prise en charge dans un groupe thérapeutique d'inspiration analytique. La question de la dépendance et de l'auto-renforcement de ces difficultés est aussi abordée, ainsi que l'aménagement nécessaire du cadre thérapeutique tant aux adolescents qu'au symptôme.