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Cette publication constitue un ensemble unique d'indicateurs reflétant le niveau et la structure des actifs et passifs financiers des investisseurs institutionnels dans les pays de l'OCDE (à l'exception de l'Australie et de la République slovaque) et dans la Lettonie et la Fédération de Russie.
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Les investisseurs institutionnels (sociétés d'assurance, sociétés d'investissement et fonds de pension) sont les principaux collecteurs de l'épargne et émetteurs de fonds sur les marchés financiers. Leur rôle en tant qu'intermédiaires financiers et leur impact sur les stratégies d'investissement se sont accrus de façon significative.
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Institutional investors. --- Finance --- Business & Economics --- Investment & Speculation --- Stockholders
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This report presents the results of the second thematic peer review based on the OECD Principles of Corporate Governance. The report is focused on the role of institutional investors in promoting good corporate governance practices including the incentives they face to promote such outcomes. It covers 26 different jurisdictions, including in-depth reviews of Australia, Chile and Germany.
Corporate governance. --- Institutional investors. --- Governance, Corporate --- Stockholders --- Industrial management --- Directors of corporations
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"The first introductory practical guide of its kind, this book brings together principles of corporate governance, investor stewardship, and enterprise sustainability in the context of institutional investment. Stewardship codes are developing in diverse markets to provide a framework for responsible institutional investment practices and fiduciary duties for beneficiaries. While codes provide a starting point, the application of stewardship in practical terms can be challenging for many institutional investors. Written by two well-known corporate governance experts George Dallas and Mike Lubrano and based on the ICGN training course on stewardship that they developed, this book gives needed clarity, rigor, and guidance to practitioners about what we know - and don't know - about stewardship, governance and sustainability. It explores the theoretical foundations of stewardship, linking these to day-to-day decision making, providing real-life examples and practical tools on how to evaluate issues that arise for a company from an environmental, social and governance perspective and generate ideas about how to make investor stewardship a practical reality in similar cases. Investor stewardship and ESG professionals, portfolio managers, senior managers, regulators, and finance students will appreciate this unique guide to develop, refine, and operationalize investor stewardship capabilities in line with the respected ICGN policy framework"--
Corporate governance. --- Corporations --- Sustainable development. --- Institutional investors. --- Social responsibility of business. --- Investor relations.
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This paper estimates the effects of peer benchmarking by institutional investors on asset prices. To identify trades purely due to peer benchmarking as separate from those based on fundamentals or private information, the paper exploits a natural experiment involving a change in a government imposed underperformance penalty applicable to Colombian pension funds. This change in regulation is orthogonal to stock fundamentals and only affects incentives to track peer portfolios allowing the authors to identify the component of demand due to peer benchmarking. The authors find that peer effects among pension fund managers generate excess in stock return volatility, with stocks exhibiting short-term abnormal returns followed by returns reversal in the subsequent quarter. Additionally, peer benchmarking produces an excess in comovement across stock returns beyond the correlation implied by fundamentals.
Asset Prices --- Comovement --- Debt Markets --- Economic Theory & Research --- Emerging Markets --- Herding --- Institutional Investors --- Markets & Market Access --- Mutual Funds
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This paper analyzes the stochastic inventory control problem when the demand distribution is not known. In contrast to previous Bayesian inventory models, this paper adopts a non-parametric Bayesian approach in which the firm’s prior information is characterized by a Dirichlet process prior. This provides considerable freedom in the specification of prior information about demand and it permits the accommodation of fixed order costs. As information on the demand distribution accumulates, optimal history-dependent (s,S) rules are shown to converge to an (s,S) rule that is optimal when the underlying demand distribution is known.
Econometrics --- Investments: Stocks --- Bayesian Analysis: General --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Bayesian inference --- Investment & securities --- Bayesian models --- Stocks --- Econometric models
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Pension funds have been expected to invest in a wide range of securities and provide liquidity to domestic capital markets since they are the most sophisticated investors, with plenty of resources to gather private information and manage portfolios professionally. However, by analyzing unique, monthly asset-level data from the pioneer case of Chile, this paper shows that pension funds tend to herd. This is consistent with pension funds copying each other in their investment strategies as a way to extract information, boost returns, and reduce risk. The authors compute measures of herding across asset classes (equities, government bonds, and private sector bonds) and at different pension fund industry levels. The results show that pension funds herd more in assets for which they have less market information and when risk increases. Moreover, herding is more prevalent across funds that narrowly compete with each other, that is, when comparing funds of the same type across pension fund administrators. There is much less herding within pension fund administrators and across pension fund administrators as a whole. This herding pattern is consistent with incentives for managers to be close to industry benchmarks, which might be driven by both market forces and regulation.
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We find nonlinear feedback between the stock market and certain macroeconomic factors. This evidence calls into question the adequacy of these factors as a basis for a linear pricing model. It also means that the interaction between the economy and the stock market is more complicated than given by the simple relationship in Chen, Roll and Ross (1986). It also suggests that the univariate evidence for nonlinear dynamics in the stock market may be due to the complicated relationship between the macroeconomy and the stock market.
Inflation --- Investments: Stocks --- Macroeconomics --- Industries: General --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Price Level --- Deflation --- Macroeconomics: Consumption --- Saving --- Wealth --- Macroeconomics: Production --- Investment & securities --- Stocks --- Consumption --- Industrial production --- Asset prices --- Prices --- Economics --- Industries
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Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH). The result is valid for all sample periods, suggesting that the recent equity market reform has not produced major efficiency gains.
Finance: General --- Investments: Stocks --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- General Financial Markets: General (includes Measurement and Data) --- Investment & securities --- Finance --- Stocks --- Stock markets --- Financial institutions --- Financial markets --- Stock exchanges --- Japan
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