Agriculture as an asset class: reshaping the South African farming sector

International audienc

Stockholding in Italy

The study describes the aggregate trends in Italian households' portfolios in the past decade and documents a massive shift towards riskier portfolios and an increase in stock market and mutual funds participation. The study then uses microeconomic data to analyze the pattern of direct and indirect stockholding and their determinants. It documents how stockholding evolves during the life cycle and the relation between stock market participation and wealth, education, and other demographic characteristics. A major finding is that stockholding - either direct or through mutual funds and other managed investment accounts is present only among investors with above median wealth. Even among the richest segment of the population, non-participation in stocks is quite common.

Real Estate Private Equity: The Case of U.S. Unlisted REITs

Purpose - The purpose of this paper is to demonstrate how fixed-share prices, as a structural flaw in private equity funds targeted to small-unit investors, economically disadvantages those investors in favor of sponsors. Design/methodology/approach - The theoretical model incorporates fixed share prices with continuous investment opportunity and evaluates the wealth transfer from long-term investors to marketing affiliates and soliciting dealers in the form of fees paid on the sale of shares to follow-on investors. Findings - This result holds in the presence of high-payout dividend policy that attempts to compensate for wealth transfer. Research limitations/implications - Should share prices be marked-to-market using real estate appraisals or another method, the unlisted REIT and related offerings, such as tenant-in-common funds, will be profitable for sponsors without economically disadvantaging long-term investors. Practical implications - The findings from this research are useful to fund sponsors who design real estate investment products for small-unit investors. These products may retain the advantageous characteristics of existing products while eliminating the disadvantageous features. Originality/value - This is the first academic research on private equity capital raised from small-unit investors

Solutions for Impact Investors: From Strategy to Implementation

In writing this monograph, our main goal is to provide impact investors with tools to tighten the link between their investment decisions and impact creation. Our intent is threefold: to attract more capital to impact investing; to assist impact investors as they move from organizational change to executing and refining their impact investment decision-making process; and to narrow the gap within foundations between program professionals and investment professionals thereby contributing to a mutual understanding and implementation of a portfolio approach to impact investing.Additionally, we intend to help break down the barriers making it difficult to identify opportunities in impact investing. To this end, we provide examples throughout the monograph and at www.rockpa.org/impactinvesting of impact investment opportunities in most major asset classes.While we understand the important role that impact investors can play in providing financial capital, we also want to acknowledge the wide range of non-financial resources needed to address the world's problems. Our intent with this monograph is not to provide a comprehensive list of investments across asset classes nor any type of investment advice with regard to the selected profiles. We strongly encourage the reader to conduct their own assessment and evaluation for risk and suitability before considering any investment

Household Portfolios in Italy

We provide a detailed account of the portfolio of Italian households and its evolution, using repeated cross-sectional and panel data drawn from the 1989-98 Bank of Italy Survey of Household Income and Wealth. We offer an in-depth description of the lifetime pattern of asset holdings and their composition, the degree of asset diversification, and the propensity to invest in risky assets. The data also allow us to address some more fundamental issues on the determinants of household portfolios. We look at portfolio mobility and elaborate on the relevance of entry and exit costs. We also provide new evidence on the effect of income risk and information acquisition on portfolio choice.portfolio choice, diversification, portfolio mobility, information

Household Portfolios: An International Comparison

This paper presents an overview of the main findings of an international project on Household Portfolios coordinated by the authors. Contributions to the project deal with the state of the art in analytical, computational, and econometric methods of analysis of household portfolio choice, identify stylized facts and trends observed in five major countries, and discuss issues relating to the portfolios of two important population groups, namely the elderly and the rich. In this paper, we integrate the main findings of the project, compare portfolio behavior across countries, and contrast theoretical predictions to empirical findings. This allows us to identify a number of stylized facts and portfolio puzzles that future theoretical and empirical research should attempt to analyze and resolve.

SAFE: An early warning system for systemic banking risk

This paper builds on existing microprudential and macroprudential early warning systems (EWSs) to develop a new, hybrid class of models for systemic risk, incorporating the structural characteristics of the fi nancial system and a feedback amplification mechanism. The models explain fi nancial stress using both public and proprietary supervisory data from systemically important institutions, regressing institutional imbalances using an optimal lag method. The Systemic Assessment of Financial Environment (SAFE) EWS monitors microprudential information from the largest bank holding companies to anticipate the buildup of macroeconomic stresses in the financial markets. To mitigate inherent uncertainty, SAFE develops a set of medium-term forecasting specifi cations that gives policymakers enough time to take ex-ante policy action and a set of short-term forecasting specifications for verification and adjustment of supervisory actions. This paper highlights the application of these models to stress testing, scenario analysis, and policy.Systemic risk ; Liquidity (Economics)

Insurer Climate Risk Disclosure Survey: 2012 Findings and Recommendations

2012 was the warmest year on record in the Lower 48 states and the second most extreme weather year in U.S. history. This is not a coincidence. Extreme weather -- stronger, more damaging storms, unprecedented drought and heat in some regions and unprecedented rainfall and flooding in others -- are the predictable consequences of rising global temperatures.Eleven extreme weather events each caused at least a billion dollars in losses last year in the United States. A single event, Hurricane Sandy, caused more than $50 billion in economic losses. Insurance companies are on the hook for tens of billions of dollars in claims as a result of Sandy and other severe weather events. And American taxpayers are on the hook for tens of billions of dollars themselves, thanks to losses sustained by the National Flood Insurance Program as well as disaster relief spendingThis raises a fundamental question: Is the insurance industry prepared? Have insurers analyzed and measured their climate-related risk? Are they planning for life in a warmer world? These should be essential questions for insurance regulators in all 50 states to be asking, and some are

Worker information and firm disclosure: Analysis on French linked employer-employee data

Information disclosure requirements significantly increased in French listed companies in the early 2000s, converging toward the U.S./U.K. stock market standards. Following the burgeoning literature on relations between corporate governance and labor, we investigate the consequences of this process regarding worker information: does more information for shareholders mean more information for workers? We take advantage of a French (representative) establishment survey that generates linked 'employer–employee' data at two points in time, 1998 and 2004. Our results strongly suggest that worker information has improved in listed companies but not in private ones, as an externality of the financialization process. We find however that this extra information is only partially correlated with greater employee satisfaction, as measured through the perception of fair recognition by supervisors.information sharing, firm disclosure, corporate governance, job satisfaction, linked employer employee data

Mortality-Indexed Annuities

Longevity risk has become a major challenge for governments, individuals, and annuity providers in most countries, and especially its aggregate form, i.e. the risk of unsystematic changes to general mortality patterns, bears a large potential for accumulative losses for insurers. As obvious risk management tools such as (re)insurance or hedging are less suited to manage an annuity provider’s exposure to aggregate longevity risk, the current paper proposes a new type of life annuities with benefits contingent on actual mortality experience, and it also details actuarial aspects of implementation. Similar adaptations to conventional product design exist in investment-linked annuities, and a role model for long-term contracts contingent on actual cost experience is found in German private health insurance so that the idea is not novel in general, but it is in the context of longevity risk. By not or re-transferring the systematic longevity risk insurers may avoid accumulative losses so that the primary focus in an extensive Monte-Carlo simulation is on the question of whether and to what extent such products are also advantageous for policyholders in contrast to a comparable conventional annuity product