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Home | News | Research Fellow Aleksander Andonov published in The Review of Financial Studies
News | January 07, 2022

Research Fellow Aleksander Andonov published in The Review of Financial Studies

TI Research Fellow Aleksander Andonov's paper entitled Return Expectations of Public Pension Funds (co-author: Joshua D. Rauh) has been published in The Review of Financial Studies. 

Research Fellow Aleksander Andonov published in The Review of Financial Studies

Paper abstract: The return expectations of public pension funds are positively related to cross-sectional differences in past performance. This positive relation operates through the expected risk premium, rather than the expected risk-free rate or inflation rate. Pension funds act on their beliefs and adjust their portfolio composition accordingly. Persistent investment skills, risk taking, efforts to reduce costly rebalancing, and fiscal incentives from unfunded liabilities cannot fully explain the reliance of expectations on past performance. The results are consistent with extrapolative expectations, since the dependence on past returns is greater when executives have personally experienced longer performance histories with the fund.

Interested? You can read the full article here.