Information Acquisition and Portfolio Performance – CeRP

Testo completo

(1)Working Paper 52/06. INFORMATION ACQUISITION AND PORTFOLIO PERFORMANCE Luigi Guiso Tullio Jappelli.

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(50) Figure 1 Information and portfolio Sharpe ratio The figure plots the relation between investment in information and the portfolio expected Sharpe ratio for the rational investor and for investors with different values of the overconfidence parameter. Calculations are made calibrating the model with the same parameters used by Peress (2004): CRRA utility with relative risk aversion equal to 5, variance of stock returns equal to 2.75%, and equity premium of 6.5%. The relation between the Sharpe ration and information becomes negative when overconfidence is such that the investors perceived standard deviation of stock returns is half its true value.. 0.75. Rational investor. Mild overconfidence. 0.65. Medium overconfidence. 0.6. High overconfidence. 0.55. Information. 49. 2.41. 2.3. 2.19. 2.08. 1.97. 1.86. 1.75. 1.64. 1.53. 1.42. 1.2. 1.31. 1.09. 0.98. 0.87. 0.76. 0.65. 0.54. 0.43. 0.32. 0.21. x. 0.5 0.1. Sharpe ratio. 0.7.

(51) 0. .05. Fraction .1 .15. .2. .25. Figure 2 The sample distribution of the Sharpe ratio. .1. .2. .3 Portfolio Sharpe ratio. .4. .5. 0. 20. Time invested in information 120 100 80 60 40. 140. Figure 3 Investment in information and financial wealth. 0. 200. 400. 600. 800. 1000. 1200. Financial wealth, thousand euro. 50. 1400. 1600.

(52) 0. 20. Time invested in information 120 100 80 60 40. 140. Figure 4 Investment in information and risk aversion. Low. Moderate. Medium. High. Risk aversion indicator. 0. 20. Time invested in information 40 60 80 100. 120. Figure 5 Investment in information and education. 0. 5. 10. Years of education. 51. 15. 20.

(53) Table 1 Effect of information and risk tolerance on portfolio performance Model with rational investors. Model with overconfident investors. Effect of information. Effect of risk tolerance. Effect of information. Effect of risk tolerance. Portfolio expected return. +. +. +. +. Portfolio standard deviation. +. +. +. +. Sharpe ratio. +. 0. (more negative if more overconfident). (if risk tolerance is correlated with overconfidence). Table 2 Investment in financial information The table reports the sample distribution of time spent in financial information in a typical week.. Time spent collecting financial information % of investors. No time. Less than 30 minutes. 30-60 minutes. 1 to 2 hours. 2 to 4 hours. 4 to 7 hours. More than 7 hours. 36.5. 24.8. 14.7. 10.9. 6.5. 2.8. 3.6. Equivalent number of working days in a year % owning stocks. 0. 1.5. 4.5. 8.4. 18. 33. 42. 59.2. 82.0. 85.2. 95.0. 93.3. 98.1. 98.5. % invested in stocks. 12.6. 21.8. 24.2. 31.0. 35.6. 38.0. 43.1. 52.

(54) Table 3 Summary statistics The table reports summary statistics for the variables used in the estimation. Means and standard deviations are computed using population weights. See Appendix B for variables’ definitions. Mean. Standard deviation. Investment in information Time spent collecting financial information. 2.09. 1.36. Financial wealth and portfolio performance Respondent’s financial wealth (‘000 euro) Household’s financial wealth (‘euro) Expected return of the portfolio Standard deviation of the portfolio Sharpe ratio Share of risky assets in mutual funds (portfolio diversification). 40.0 90.6 1.02 3.69 0.27 0.58. 170.3 375.4 0.44 4.73 0.15 0.44. Risk aversion, trading and delegation Low risk aversion Moderate risk aversion Medium risk aversion High risk aversion Risk is an opportunity Trading activity (trades per month) Delegation of financial decisions. 0.02 0.25 0.47 0.25 0.26 0.23 1.88. 0.15 0.44 0.50 0.43 0.44 1.14 0.77. Demographic variables Age Male Married Living in the North Living in a city Years of education. 51.7 0.68 0.65 0.75 0.51 11.1. 15.0 0.46 0.47 0.43 0.49 4.23. 53.

(55) Table 4 Determinants of investment in financial information Ordered probit estimates for time spent to acquire financial information. The trimmed sample excludes investors who spend more than 7 hours per week. Standard errors are reported in parenthesis. Two stars denote significance at 1% or less; one star significance at 5% or less. Total sample. Financial wealth Years of education. (1). (2). (3). (4). 0.619 (0.092)** 0.049 (0.006)**. 0.548 (0.093)** 0.056 (0.006)** 0.270 (0.053)** 0.983 (0.148)** 0.588 (0.076)** 0.374 (0.072)** -0.161 (0.059)**. 0.478 (0.094)** 0.060 (0.006)** 0.221 (0.054)** 0.972 (0.148)** 0.567 (0.076)** 0.367 (0.072)** -0.154 (0.059)**. 0.487 (0.094)** 0.065 (0.006)** 0.189 (0.053)**. Retired Low risk aversion. 0.919 (0.147)** Moderate risk aversion 0.561 (0.076)** Medium risk aversion 0.356 (0.072)** Income risk. 0.437 (0.061)** 0.086 (0.058) 0.325 (0.053)** -0.038 (0.053). -0.161 (0.059)** 0.152 (0.056)** 0.451 (0.060)** 0.088 (0.058) 0.314 (0.052)** -0.042 (0.053). 1,834. 1,834. Risk is an opportunity Male Married Resident in the North Resident in a small city Observations. 1,834. 1,834. 54. Stockholders only (5). Trimmed sample (6). 0.334 (0.095)** 0.052 (0.007)** 0.109 (0.060) 0.917 (0.165)** 0.449 (0.087)** 0.285 (0.083)** -0.131 (0.066)*. 0.454 (0.099)** 0.056 (0.007)** 0.180 (0.055)** 0.879 (0.157)** 0.514 (0.078)** 0.381 (0.073)** -0.124 (0.060)*. 0.468 (0.068)** 0.086 (0.065) 0.274 (0.059)** -0.012 (0.060). 0.412 (0.061)** 0.078 (0.059) 0.343 (0.054)** -0.009 (0.054). 1,419. 1,767.

(56) Table 5 Sharpe ratio and investment in financial information: total sample The dependent variable is the Sharpe ratio, computed as the ratio of the portfolio expected excess return and the portfolio standard deviation. Column 1 reports OLS estimates, the other columns the second stage estimates of a Heckman selection model. The IV-Selection adjusted estimates use as instruments dummies for income risk and retirement. The sample includes only those with financial investment. The last column excludes investors who spend more than 7 hours per week in information. Standard errors are reported in parenthesis. Two stars denote significance at 1% or less; one star significance at 5% or less. OLS (1) Investment in information. Selection adjusted (2) (3). -0.018 -0.017 (0.002)** (0.003)**. Male Married Resident in the North Resident in a small city. (4). IV-Selection Adjusted (5) (6). -0.016 (0.003)** -0.015 (0.010) -0.007 (0.009) -0.003 (0.008) 0.003 (0.008). -0.079 (0.021)** 0.019 (0.016) -0.013 (0.011) -0.015 (0.010) 0.006 (0.009). -0.217 (0.076)**. -0.052 (0.020)** 0.008 (0.015) -0.011 (0.010) -0.016 (0.009) 0.006 (0.009) -0.078 (0.029)** -0.078 (0.013)** -0.046 (0.012)** -0.149 (0.071)*. -0.057 (0.020)** 0.004 (0.013) -0.014 (0.010) -0.015 (0.009) 0.010 (0.009) -0.102 (0.028)** -0.082 (0.013)** -0.045 (0.013)** -0.132 (0.054)*. 0.003 (0.018). 1.311 (0.252) 16.01 1,780. 0.876 (0.349) 13.73 1,780. 1.065 (0.302) 23.04 1,780. 1,780. Low risk aversion Moderate risk aversion Medium risk aversion Mills ratio Sargan test p-value F-test for excluded instruments Observations. 0.006 (0.017). 1,365. 1,780. 55.

(57) Table 6 Sharpe ratio and investment in financial information: sample of clients with only one bank relation The dependent variable is the Sharpe ratio, computed as the ratio of the portfolio expected excess return and the portfolio standard deviation. The sample is restricted to households that have accounts with only one bank. Column 1 reports OLS estimates, the other columns the second stage estimates of a Heckman selection model. The IV-Selection adjusted estimates use as instruments dummies for income risk and retirement. The sample includes only those with financial investment. The last column excludes investors who spend more than 7 hours per week in information. Standard errors are reported in parenthesis. Two stars denote significance at 1% or less; one star significance at 5% or less. OLS (1) Investment in information. Selection adjusted (2) (3). (4). IV-Selection Adjusted (5) (6). -0.011 -0.018 (0.003)** (0.003)**. -0.018 (0.003)** -0.005 (0.009) -0.025 (0.009)** -0.015 (0.008) 0.002 (0.008). -0.033 (0.010)** 0.004 (0.011) -0.028 (0.009)** -0.019 (0.009)* 0.004 (0.008). -0.104 (0.019)**. -0.122 (0.020)**. 914. Male Married Resident in the North Resident in a small city. -0.170 (0.036)**. -0.027 (0.010)** 0.001 (0.011) -0.028 (0.009)** -0.019 (0.009)* 0.003 (0.008) -0.037 (0.026) -0.036 (0.012)** -0.031 (0.011)** -0.162 (0.036)**. -0.029 (0.012)* 0.005 (0.011) -0.031 (0.009)** -0.022 (0.009)* 0.004 (0.008) -0.039 (0.027) -0.036 (0.012)** -0.033 (0.011)** -0.167 (0.034)**. 0.001 (0.980) 18.04 914. 0.024 (0.877) 15.73 914. 0.000 (0.996) 23.04 868. Low risk aversion Moderate risk aversion Medium risk aversion Mills ratio Sargan test p-value F-test for excluded instruments Observations. 914. 914. 56.

(58) Table 7 Financial information, excess return and standard deviation of the portfolio OLS estimates of the relation between the portfolio expected return (columns 1-3) and standard deviation (columns 4-6) and investment in financial information. Standard errors are reported in parenthesis. Two stars denote significance at 1% or less; one star significance at 5% or less. (1) Investment in information. Excess return (2). (4). Standard deviation (5). (6). 0.135 (0.008)**. 0.127 (0.008)** -0.006 (0.031) 0.031 (0.030) 0.171 (0.027)** -0.094 (0.027)**. 0.115 (0.008)** -0.011 (0.031) 0.031 (0.030) 0.182 (0.027)** -0.093 (0.027)** 0.304 (0.079)** 0.221 (0.039)** 0.141 (0.036)**. 0.999 (0.068)**. 0.938 (0.070)** 0.290 (0.261) 0.191 (0.252) 0.736 (0.226)** -0.669 (0.225)**. 0.823 (0.070)** 0.238 (0.258) 0.195 (0.248) 0.846 (0.223)** -0.659 (0.221)** 3.616 (0.653)** 2.045 (0.320)** 1.182 (0.299)**. 1,780. 1,780. 1,780. 1,780. 1,780. 1,780. Male Married Resident in the North Resident in a small city Low risk aversion Moderate risk aversion Medium risk aversion Observations. (3). 57.

(59) Table 8 Sharpe ratio and in financial information: sample splits by overconfidence Selectivity adjusted estimates of the relation between investment in information and the Sharpe ratio for various sample splits. The first stage probit of the two-stage Heckman estimator includes investment in information, financial wealth linear and square, three dummies for risk tolerance, education and demographics. Low and high knowledge of stocks split the sample between those who report knowing very well or well stocks, and those who don’t. The sample includes only people with financial investment. Standard errors are reported in parenthesis. Two stars denote significance at 1% or less; one star significance at 5% or less.. Investment in information Male Married Resident in the North Resident in a small city Mills ratio Observations. Low knowledge of stocks (1). High knowledge of stocks (2). Women. Men. (3). (4). -0.006 (0.007) -0.025 (0.016) 0.012 (0.016) -0.012 (0.016) -0.004 (0.015) 0.014 (0.029). -0.013 (0.003)** -0.003 (0.012) -0.015 (0.011) 0.006 (0.010) 0.003 (0.010) 0.012 (0.026). -0.009 (0.006). -0.016 (0.003)**. -0.008 (0.016) -0.038 (0.017)* 0.013 (0.016) 0.041 (0.029). -0.003 (0.011) 0.011 (0.010) -0.000 (0.009) 0.007 (0.022). 482. 883. 376. 989. 58.

(60) Table 9 Trading and investment in information The table reports OLS estimates of frequency of trading, measured as number of trades per year. Low and high knowledge of stocks split the sample between those who report knowing very well or well stocks, and those who don’t. The sample includes people with financial investment. Standard errors are reported in parenthesis. Two stars denote significance at 1% or less; one star significance at 5% or less. Total sample. Investment in information Male Married Resident in the North Resident in a small city Low risk aversion Moderate risk aversion Medium risk aversion Observations. High knowledge of stocks (3). Women. Men. (1). Low knowledge of stocks (2). (4). (5). 9.994 (0.899)** 0.557 (3.440) 1.975 (3.302) -0.650 (2.952) -7.475 (2.909)* 15.278 (8.304) 2.996 (4.327) -2.454 (4.129). 2.366 (0.823)** 1.170 (2.244) 1.579 (2.241) -0.460 (2.067) 0.173 (2.029) -0.487 (6.641) -0.718 (2.793) 2.548 (2.486). 11.659 (1.311)** -1.177 (5.470) 3.574 (5.138) -0.961 (4.500) -10.368 (4.467)* 16.081 (12.347) 2.276 (7.398) -5.226 (7.293). 3.763 (1.381)**. 11.588 (1.099)**. 2.851 (3.821) 6.537 (3.955) -8.146 (3.852)* 0.061 (11.107) 8.316 (5.460) -0.961 (4.990). 0.595 (4.526) -2.960 (3.759) -6.558 (3.731) 19.705 (10.602) 0.143 (5.659) -3.264 (5.465). 1,421. 521. 900. 389. 1,032. 59.

(61) Table 10 Delegation and investment in information Ordered probit estimates of willingness to delegate financial decisions. The dependent variable is a categorical variable measuring the degree of delegation of financial decisions to financial advisors, banks or brokers. Delegation is a categorical variable ranging from 1 (investors decide alone and don’t delegate) to 4 (investors let financial advisors/banks decide without asking details). Standard errors are reported in parenthesis. Two stars denote significance at 1% or less; one star significance at 5% or less. Total sample (1) Investment in information High trust in advisor Medium trust in advisor Financial wealth Low risk aversion Moderate risk aversion Medium risk aversion Years of education Male Married Resident in the North Resident in a small city Observations. Low High knowledge of knowledge of stocks stocks (2) (3). Women. Men. (4). (5). -0.047 (0.018)* 1.047 (0.074)** 0.586 (0.097)** 0.431 (0.102)** -0.661 (0.166)** -0.302 (0.080)** -0.201 (0.074)** -0.021 (0.007)** -0.163 (0.063)** -0.035 (0.061) 0.146 (0.056)** -0.181 (0.056)**. -0.024 (0.037) 0.870 (0.108)** 0.197 (0.139) 1.031 (0.316)** -0.292 (0.289) -0.258 (0.112)* -0.140 (0.098) -0.035 (0.010)** -0.179 (0.089)* -0.082 (0.088) 0.105 (0.083) -0.353 (0.083)**. -0.062 (0.023)** 1.228 (0.104)** 1.031 (0.141)** 0.375 (0.117)** -0.903 (0.219)** -0.410 (0.124)** -0.322 (0.120)** -0.005 (0.010) -0.117 (0.092) -0.005 (0.087) 0.192 (0.078)* -0.004 (0.079). -0.025 (0.039) 0.996 (0.137)** 0.667 (0.187)** 0.387 (0.192)* -0.229 (0.315) -0.056 (0.145) -0.178 (0.131) -0.042 (0.012)**. -0.057 (0.021)** 1.081 (0.089)** 0.561 (0.115)** 0.443 (0.121)** -0.820 (0.198)** -0.400 (0.096)** -0.219 (0.090)* -0.010 (0.008). -0.164 (0.101) 0.087 (0.103) -0.284 (0.104)**. 0.038 (0.078) 0.188 (0.067)** -0.128 (0.067). 1,834. 805. 1,029. 530. 1,304. 60.

(62) Table 11 Diversification and investment in information The table reports Tobit estimates of the effect of investment in information on portfolio diversification. The dependent variable is the share of stocks held indirectly in the form of managed investment accounts and stock mutual funds on total stocks (directly plus indirect). The sample includes people with financial investment. Standard errors are reported in parenthesis. Two stars denote significance at 1% or less; one star significance at 5% or less. Total sample (1) Investment in information High trust in advisor Medium trust in advisor Financial wealth Low risk aversion Moderate risk aversion Medium risk aversion Years of education Male Married Resident in the North Resident in a small city Observations. Low High knowledge of knowledge of stocks stocks (2) (3). Women. Men. (4). (5). -0.046 (0.009)** 0.155 (0.042)** 0.128 (0.056)* 0.141 (0.045)** -0.210 (0.085)* -0.167 (0.046)** -0.106 (0.044)* 0.005 (0.004) 0.035 (0.036) -0.071 (0.033)* 0.041 (0.031) 0.042 (0.031). -0.008 (0.020) 0.020 (0.077) 0.030 (0.098) 0.139 (0.098) -0.206 (0.174) -0.115 (0.071) -0.128 (0.063)* 0.001 (0.006) 0.021 (0.056) 0.005 (0.055) 0.062 (0.053) 0.030 (0.051). -0.038 (0.011)** 0.186 (0.049)** 0.137 (0.067)* 0.154 (0.050)** -0.137 (0.099) -0.109 (0.061) -0.047 (0.060) 0.013 (0.004)** 0.052 (0.045) -0.096 (0.041)* 0.037 (0.037) 0.037 (0.037). -0.031 (0.021) -0.027 (0.101) 0.056 (0.133) 0.154 (0.089) -0.059 (0.167) -0.026 (0.089) -0.055 (0.081) 0.004 (0.007). -0.048 (0.010)** 0.193 (0.046)** 0.138 (0.062)* 0.136 (0.052)** -0.264 (0.099)** -0.214 (0.054)** -0.123 (0.052)* 0.005 (0.004). -0.031 (0.060) 0.034 (0.064) 0.040 (0.061). -0.096 (0.041)* 0.036 (0.035) 0.040 (0.035). 1,172. 369. 803. 297. 875. 61.

(63) Table 12 Trading, delegation, diversification, and the Sharpe ratio The table reports two-stage selectivity adjusted estimates of the effect of trading, willingness to delegate financial decisions, and stock market diversification on the Sharpe ratio. Trading is measured as number of trades per month. Delegation of financial decisions is a categorical variable ranging from 1 (investors decide alone and don’t delegate) to 4 (investors let financial advisors/banks decide without asking details). Stock market diversification is the share of stocks held indirectly on total stocks. The first stage regression includes the variables in the second sage, plus financial wealth (linear and square), dummies for risk aversion, age and education. The sample includes people with financial investment. Standard errors are reported in parenthesis. Two stars denote significance at 1% or less; one star significance at 5% or less.. Trading. (1). (2). -0.008 (0.002)**. -0.005 (0.002)*. Delegation. (3). (4). 0.015 (0.006)*. 0.007 (0.006). Diversification Investment in information Male Married Resident in the North Resident in a small city Mills ratio Observations. -0.024 (0.010)* -0.012 (0.010) -0.001 (0.009) -0.000 (0.008) 0.052 (0.033). -0.013 (0.003)** -0.015 (0.010) -0.012 (0.009) 0.001 (0.009) -0.001 (0.008) 0.020 (0.036). 1,401. 1,401,. 62. (5). (6). 0.102 (0.009)** -0.024 (0.010)* -0.007 (0.009) -0.006 (0.009) 0.005 (0.008) 0.032 (0.016)*. -0.015 (0.003)** -0.015 (0.010) -0.007 (0.009) -0.004 (0.008) 0.003 (0.008) 0.010 (0.019). -0.004 (0.009) -0.010 (0.009) 0.005 (0.008) -0.007 (0.008) 0.008 (0.014). 0.097 (0.009)** -0.006 (0.003)* -0.001 (0.009) -0.011 (0.009) 0.004 (0.008) -0.006 (0.008) -0.008 (0.016). 1,780. 1,780. 1,587. 1,587.

(64) Table A1 Asset classification The table reports the reclassification of the assets in the UPS in three asset groups: risk-free, medium term government bonds (MGTB), and long-term government bonds (LTGB). Fraction with positive amount of the asset. Reclassified asset category in the UPS. 94.1 4.9 7.9 28.8 27.7 2.9 39.4 3.1 41.4 23.3. Risk-free Risk-free MTGB Risk-free, MTGB, LTGB MTGB Stocks Stocks Stocks MTGB, stocks, risk-free MTGB, stocks, risk-free. Bank accounts Repurchase agreements Certificate of deposits Government bonds Corporate bonds Derivatives Shares of listed companies Shares of unlisted companies Mutual funds Managed investment accounts. Table A2 Excess returns, standard deviations and correlation matrix The table reports excess returns, standard deviation, and correlation matrix of medium term government bonds (MGTB), long-term government bonds (LTGB) and stocks. The return on the risk-free asset is 0.9275 percent.. Excess return (%) Standard deviation (%) Correlation matrix. LTGB 1.7402 4.2711. MTGB 0.9449 2.1547. Stocks 2.1789 20.2309. 1. 0.9476 1. -0.1940 -0.1266 1. 63.

(65) Our papers can be downloaded at: http://cerp.unito.it/publications. CeRP Working Paper Series N° 1/00. Guido Menzio. Opting Out of Social Security over the Life Cycle. N° 2/00. Pier Marco Ferraresi Elsa Fornero. Social Security Transition in Italy: Costs, Distorsions and (some) Possible Correction. N° 3/00. Emanuele Baldacci Luca Inglese. Le caratteristiche socio economiche dei pensionati in Italia. Analisi della distribuzione dei redditi da pensione (only available in the Italian version). N° 4/01. Peter Diamond. Towards an Optimal Social Security Design. N° 5/01. Vincenzo Andrietti. Occupational Pensions and Interfirm Job Mobility in the European Union. Evidence from the ECHP Survey. N° 6/01. Flavia Coda Moscarola. The Effects of Immigration Inflows on the Sustainability of the Italian Welfare State. N° 7/01. Margherita Borella. The Error Structure of Earnings: an Analysis on Italian Longitudinal Data. N° 8/01. Margherita Borella. Social Security Systems and the Distribution of Income: an Application to the Italian Case. N° 9/01. Hans Blommestein. Ageing, Pension Reform, and Financial Market Implications in the OECD Area. N° 10/01. Vincenzo Andrietti and Vincent Pension Portability and Labour Mobility in the United States. Hildebrand New Evidence from the SIPP Data. N° 11/01. Mara Faccio and Ameziane Lasfer. Institutional Shareholders and Corporate Governance: The Case of UK Pension Funds. N° 12/01. Roberta Romano. Less is More: Making Shareholder Activism a Valuable Mechanism of Corporate Governance. N° 13/01. Michela Scatigna. Institutional Investors, Corporate Governance and Pension Funds. N° 14/01. Thomas H. Noe. Investor Activism and Financial Market Structure. N° 15/01. Estelle James. How Can China Solve ist Old Age Security Problem? The Interaction Between Pension, SOE and Financial Market Reform. N° 16/01. Estelle James and Xue Song. Annuities Markets Around the World: Money’s Worth and Risk Intermediation. N° 17/02. Richard Disney and Sarah Smith. The Labour Supply Effect of the Abolition of the Earnings Rule for Older Workers in the United Kingdom. N° 18/02. Francesco Daveri. Labor Taxes and Unemployment: a Survey of the Aggregate Evidence. N° 19/02. Paolo Battocchio Francesco Menoncin. Optimal Portfolio Strategies with Stochastic Wage Income and Inflation: The Case of a Defined Contribution Pension Plan. N° 20/02. Mauro Mastrogiacomo. Dual Retirement in Italy and Expectations. N° 21/02. Olivia S. Mitchell David McCarthy. Annuities for an Ageing World.

(66) N° 22/02. Chris Soares Mark Warshawsky. Annuity Risk: Volatility and Inflation Exposure in Payments from Immediate Life Annuities. N° 23/02. Ermanno Pitacco. Longevity Risk in Living Benefits. N° 24/02. Laura Ballotta Steven Haberman. Valuation of Guaranteed Annuity Conversion Options. N° 25/02. Edmund Cannon Ian Tonks. The Behaviour of UK Annuity Prices from 1972 to the Present. N° 26/02. E. Philip Davis. Issues in the Regulation of Annuities Markets. N° 27/02. Reinhold Schnabel. Annuities in Germany before and after the Pension Reform of 2001. N° 28/02. Luca Spataro. New Tools in Micromodeling Retirement Decisions: Overview and Applications to the Italian Case. N° 29/02. Marco Taboga. The Realized Equity Premium has been Higher than Expected: Further Evidence. N° 30/03. Bas Arts Elena Vigna. A Switch Criterion for Defined Contribution Pension Schemes. N° 31/03. Giacomo Ponzetto. Risk Aversion and the Utility of Annuities. N° 32/04. Angelo Marano Paolo Sestito. Older Workers and Pensioners: the Challenge of Ageing on the Italian Public Pension System and Labour Market. N° 33/04. Elsa Fornero Carolina Fugazza Giacomo Ponzetto. A Comparative Analysis of the Costs of Italian Individual Pension Plans. N° 34/04. Chourouk Houssi. Le Vieillissement Démographique : Problématique des Régimes de Pension en Tunisie. N° 35/04. Monika Bütler Olivia Huguenin Federica Teppa. What Triggers Early Retirement. Results from Swiss Pension Funds. N° 36/04. Laurence J. Kotlikoff. Pensions Systems and the Intergenerational Distribution of Resources. N° 37/04. Jay Ginn. Actuarial Fairness or Social Justice? A Gender Perspective on Redistribution in Pension Systems. N° 38/05. Carolina Fugazza Federica Teppa. An Empirical Assessment of the Italian Severance Payment (TFR). N° 39/05. Anna Rita Bacinello. Modelling the Surrender Conditions in Equity-Linked Life Insurance. N° 40/05. Carolina Fugazza Massimo Guidolin Giovanna Nicodano. Investing for the Long-Run in European Real Estate. Does Predictability Matter?. N° 41/05. Massimo Guidolin Giovanna Nicodano. Small Caps in International Equity Portfolios: The Effects of Variance Risk.. N° 42/05. Margherita Borella Flavia Coda Moscarola. Distributive Properties of Pensions Systems: a Simulation of the Italian Transition from Defined Benefit to Defined Contribution. N° 43/05. John Beshears James J. Choi David Laibson Brigitte C. Madrian. The Importance of Default Options for Retirement Saving Outcomes: Evidence from the United States.

(67) N° 44/05. Henrik Cronqvist. Advertising and Portfolio Choice. N° 45/05. Claudio Campanale. Increasing Returns to Savings and Wealth Inequality. N° 46/05. Annamaria Lusardi Olivia S. Mitchell. Financial Literacy and Planning: Implications for Retirement Wellbeing. N° 47/06. Michele Belloni Carlo Maccheroni. Actuarial Neutrality when Longevity Increases: An Application to the Italian Pension System. N° 48/06. Onorato Castellino Elsa Fornero. Public Policy and the Transition to Private Pension Provision in the United States and Europe. N° 49/06. Mariacristina Rossi. Examining the Interaction between Saving and Contributions to Personal Pension Plans. Evidence from the BHPS. N° 50/06. Andrea Buffa Chiara Monticone. Do European Pension Reforms Improve the Adequacy of Saving?. N° 51/06. Giovanni Mastrobuoni. The Social Security Earnings Test Removal. Money Saved or Money Spent by the Trust Fund?. N° 52/06. Luigi Guiso Tullio Jappelli. Information Acquisition and Portfolio Performance.

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