ISSN: 2056-3736 (Online Version) | 2056-3728 (Print Version)
Andrey Kudryavtsev, Shosh Shahrabani and Yaniv Azoulay
Correspondence: Andrey Kudryavtsev, andreyk@yvc.ac.il
Department of Economics and Management, The Max Stern Yezreel Valley College, Israel
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In the present study, we make an effort to enhance practical advantages of the life-cycle pension model and hypothesize that the pension funds and their members may be made better off if the funds adjust their asset allocations on a less frequent basis, in order to better exploit the return potential of more risky assets. We consider a hypothetical Israeli employee and analyze a number of pension savings glide-paths with different frequency of switches between the major asset classes. We compare the performance of the glidepaths by employing an estimation-based and a simulation-based technique. The results demonstrate that by decreasing the frequency of switches in the framework of the lifecycle model, pension funds can achieve: (i) higher estimated annualized real returns and accumulated savings; (ii) higher expected risk-adjusted performance measures; and (iii) significantly higher simulated mean and median values of real accumulated savings. Moreover, we document that, though decreasing the frequency of switches slightly increases the standard deviation of the employee's terminal wealth, it does not lead to critically low pension savings levels even for relatively unfavorable sequences of financial assets' returns. On the other hand, both empirical techniques prove that keeping the initial asset allocation proportions constant throughout the employees' working career (life-style approach) significantly increases the pension funds' risk levels without significantly increasing their pension portfolio returns.
Capital Market; Investment Profitability and Risk; Life-Cycle Pension Model; Pension Funds' Investment Policy; Retirement Savings.
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Mediha Mezhoud, Asma Sghaier and Adel Boubaker
Correspondence: Asma Sghaier, asma_sghaier1983@yahoo.fr
University of Sousse (LaREMFiQ), Tunisia
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This paper investigates the impact of internal governance structure on firm-level stock return volatility in Paris Stock Exchange based on our study of a sample of 65 firms for the daily period from January 2010 to December 2012.The research has sixth hypotheses. To test each hypothesis; a model was defined based on dependent variables employed to measure the share price volatility. Our findings reveal different results by using different models of multivariate regression. The empirical results show no statistically significant relationship to any components of ownership structure. However, the results also show that the components for the board structure reduce volatility. Indeed, we document a statistically significant negative relationship between the board independence, the CEO Duality, the board size and the share price volatility. Hence, the board structure is not expected to cause severe volatility in the stock prices, which in turn, is consistent with the results of this study.
Share price volatility, Ownership Structure, Board structure, Paris stock exchange
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