Pension Funds under Investments Constraints: An Assessment of the Opportunity Cost to the Greek Social Security System

In this paper we study the opportunity loss of the Greek social security system in terms of risk and return, caused by the inflexible investment constraints under which Greek pension funds operated in the period 1958-2000. Using data on pension fund reserves as well as on money and capital market yields, we evaluate retrospectively the risks and returns of a more pro-investment fund reserve management by analyzing an indicative number of investment scenarios in local and international money and capital markets. In order to estimate local currency yields for international investment, we generate for the entire period – covering both a fixed and a partially floating exchange rates regime – a corresponding series of exchange rate variations based on the official rate fluctuations and inflation differentials. Our results suggest that in the 43-year period, there has been a significant opportunity loss in the system both in risk and returns: first, by excluding Greek bank deposits and Greek capital market securities that would have propped returns up at acceptable levels of risk and, second, by not allowing for some degree of international diversification that would have kept overall downside risk down. This opportunity loss could have alleviated, to some extent, the current imbalance of the system, had some of the restrictive investment rules been relaxed.pension funds; financial investment

The Determinants of GNMA Prepayments: A Pool-by-Pool Analysis

This study examines GNMA prepayment determinants as a function of interest-rate factors and the pure aging effect. While we find both interest-rate and age factors to be important, these relationships are not constant across different pools. This suggests that prepayment forecasts need to be made on a pool-by-pool basis. The study also documents a lagged relationship between changing interest rates and prepayment experience, suggesting that the prepayment decision date is made many months before the prepayment recording date.

International evidence on the determinants of domestic sovereign debt bank holdings

Funding: British Academy/SAMS Small Research Grant (SG140376).In this paper, we examine the determinants of bank holdings of domestic sovereign debt with a panel dataset of 295 banks in 35 countries between 2002 and 2013. The findings indicate that the structure of bank ownership (domestic, foreign, or government ownership), the quality of governance, and the level of financial development of the countries in which banks operate all determine the level of home bias. Specifically, we find that domestic banks tend to hold more domestic sovereign debt relative to their foreign counterparts. We also provide evidence that home bias is even stronger when the domestic bank is controlled by its government. Moreover, home bias increases when government bonds are more risky, home governments are less effective, and when banking systems are less financially developed. Overall, we find that banks’ home bias in holding sovereign debt is an international phenomenon that is determined by both bank- and country-specific factors.Publisher PDFPeer reviewe

The role of financial institutions in the corporate governance of listed Chinese companies

This paper explores the role of Chinese financial institutions in corporate governance of listed companies through interviews with both senior managers of financial institutions and directors of listed companies. Our results show that while most securities companies are passive investors, a good proportion of the active mutual funds help their portfolio companies prepare financial forecasts, standardise their operations, raise external funds and strengthen their company image in the capital markets. This limited role can be attributed to a number of factors specific to the Chinese context including highly concentrated state ownership, an immature regulatory environment, inadequate transparency and disclosure of financial information, and weak corporate governance within financial institutions themselves. It could also be affected by several other factors that are considered to cause institutional passivity in developed countries such as conflict of interest, monitoring costs, and lack of expertise

Assessment of the sensitivity of anti-interferon binding and neutralizing antibody assays in patients with relapsing -remitting multiple sclerosis under interferon- beta treatment- A comparative study

Interferon beta (IFNβ) is a first line disease-modifying treatment for the management of relapsing-remitting multiple sclerosis. IFNβ preparations may elicit an immune response reflected by the development of binding- (Babs) and neutralizing- antibodies (Nabs). The detrimental effect of Nabs is depicted by attenuation of treatment effect and as a result the deterioration of clinical and radiological parameters. The incidence and titers of Nabs vary by the preparation of IFNβ used, dose, frequency and route of administration, treatment duration and type of assay being used. In this study we aimed to assess the sensitivity of the binding and the neutralizing assays in patients with relapsing-remitting multiple sclerosis under treatment with interferon-beta. The assessment of the results suggests that Western blot assay is more sensitive than ELISA for the detection of binding antibodies. The evaluation of CPE and Real-time-PCR results indicates that they possess similar sensitivity. However, CPE assay remains the gold standard method for the detection of neutralizing antibodies, based on the World Health Organization. Our results indicate that interlaboratory studies are needed for a commonly accepted assay that might reflect a reliable and cost-effective procedure for the Babs and Nabs detection in MS patients under IFNβ treatment

Pension Funds under Investments Constraints: An Assessment of the Opportunity Cost to the Greek Social Security System

In this paper we study the opportunity loss of the Greek social security system in terms of risk and return, caused by the inflexible investment constraints under which Greek pension funds operated in the period 1958-2000. Using data on pension fund reserves as well as on money and capital market yields, we evaluate retrospectively the risks and returns of a more pro-investment fund reserve management by analyzing an indicative number of investment scenarios in local and international money and capital markets. In order to estimate local currency yields for international investment, we generate for the entire period – covering both a fixed and a partially floating exchange rates regime – a corresponding series of exchange rate variations based on the official rate fluctuations and inflation differentials. Our results suggest that in the 43-year period, there has been a significant opportunity loss in the system both in risk and returns: first, by excluding Greek bank deposits and Greek capital market securities that would have propped returns up at acceptable levels of risk and, second, by not allowing for some degree of international diversification that would have kept overall downside risk down. This opportunity loss could have alleviated, to some extent, the current imbalance of the system, had some of the restrictive investment rules been relaxed

The role of financial institutions in the corporate governance of listed Chinese companies

This paper explores the role of Chinese financial institutions in corporate governance of listed companies through interviews with both senior managers of financial institutions and directors of listed companies. Our results show that while most securities companies are passive investors, a good proportion of the active mutual funds help their portfolio companies prepare financial forecasts, standardise their operations, raise external funds and strengthen their company image in the capital markets. This limited role can be attributed to a number of factors specific to the Chinese context including highly concentrated state ownership, an immature regulatory environment, inadequate transparency and disclosure of financial information, and weak corporate governance within financial institutions themselves. It could also be affected by several other factors that are considered to cause institutional passivity in developed countries such as conflict of interest, monitoring costs, and lack of expertise

The Cadbury code reforms and corporate performance.

This paper investigates the impact of adopting the Cadbury Committee's Code of Best Practices on the corporate performance of UK firms. The findings show improved corporate performance by companies which adopted the Code. Regarding the specific recommendations of the Code, splitting the positions of the Chairman of the Board and CEO does not result in improved corporate performance. The establishment of an internal audit and/or remuneration committee is positively associated with corporate performance, while the presence of a key executive director in such committees is negatively associated with corporate performance. There is a negative relation between corporate performance and the proportion of non-executive directors, but a positive relation between corporate performance and the square of the proportion of non-executive directors