摘要
企业年金在我国处于变革和发展的关键时期,未来巨量资金的投资组合问题值得关注。本文回顾了西方养老基金投资领域的研究文献,无论是税收套利模型还是对养老金收益担保公司的看跌期权模型,都不能解释现实。国际经验研究表明,企业年金的投资组合和发起企业的经营活动现金收益率有密切关系。本文提出了一个考虑发起企业的经营活动现金回报率之后的年金组合理论模型,分析了当前我国行业年金、地方企业年金以及保险公司经办年金等三类年金的投资组合情况,并提出了相关政策建议。
China＇ s on-going reform of annuity system is at a critical point of development. The investment of this huge sum of capital is an issue of great concern. The author reviews the research papers relating to annuity investment in western countries and comes to the conclusion that neither the arbitrage model nor the profit guarantee put option could explain the reality. International experience shows that a close positive correlation exists between annuity portfolio and promoter＇ s business cash earnings. A theoretic module of annuity portfolio after promoters＇ business cash earnings is put forward. Based on an analysis of annuity investment portfolio of Chinese industries, local enterprises and insurance companies, policy suggestion is made.
出处
《证券市场导报》
CSSCI
北大核心
2006年第6期64-70,共7页
Securities Market Herald
关键词
企业年金
投资组合
理论模型
海外养老金投资
annuity
investment portfolio
theoretic model
overseas annuity investment
