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Asset Allocation of Defined Contribution Pension Plan Participants and Impact of Systemic Transition Sayuri NISHIDA Keiko MURAKAMI Yoshiko NISHIMURA Abstract Many participants of a defined contribution pension plan are likely to hold too much conservative portfolios in Japan, and it is reported to be similar in the U.S. as well. This participants behavior seems to be irrational in the sense that they are investing in the long term. We investigate whether this may be a temporary problem due to the process of systemic transition from any other pension plans to a defined contribution type. In other words, we inquire whether participants of a defined contribution pension plan would universally invest too conservatively. Our results show that participantsbehavior does not depend on the value of assets shifted from another type of pension plan. In short, the irrational investment behaviors of the contribution pension plan participants seem to be a universal phenomenon. Keywords defined contribution pension planasset allocation, systemic transition

Iwaisako.. Milevsky Post and Schmit Okunev Bengen Cooley et al. TAAtactical asset allocation Diacon and Hasseldine /n Brown et al. Mottla and UtkusMacFarland et al.

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3-1 97 18.9% 4 1.1% 4 3.1% 0 0.0% 105 9.3% 443.795 0.000 ** 年齢 230 44.8% 60 16.7% 13 10.2% 6 4.8% 309 27.5% 層 127 24.8% 176 48.9% 38 29.9% 18 14.4% 359 31.9% 59 11.5% 120 33.3% 72 56.7% 101 80.8% 352 31.3% 37.4 45.9 49.0 53.4 43.2 448 87.3% 320 88.9% 124 97.6% 121 96.8% 1013 90.0% 24.311 0.000 ** 65 12.7% 40 11.1% 3 2.4% 4 3.2% 112 10.0% 184 35.9% 102 28.3% 46 36.2% 41 32.8% 373 33.2% 20.963 0.051 99 19.3% 72 20.0% 19 15.0% 23 18.4% 213 18.9% 55 10.7% 29 8.1% 16 12.6% 8 6.4% 108 9.6% 82 16.0% 76 21.1% 16 12.6% 18 14.4% 192 17.1% 93 18.1% 81 22.5% 30 23.6% 35 28.0% 239 21.2% 513 45.6% 360 32.0% 127 11.3% 125 11.1% 1125 100.0%, 2 p * 5 ** 13-2(1) 2.335 0.020 * 1.990 0.047 * 2.846 0.004 ** 1.592 0.111 0.074 0.941 0.807 0.420 0.447 0.655 1.407 0.160 0.644 0.520 0.798 0.425 1.734 0.083 2.471 0.013 * 1.662 0.097 0.552 0.581 1.452 0.146 0.259 0.796 0.944 0.345 0.552 0.581 0.235 0.814 1.242 0.214 0.571 0.568 0.003 0.998 1.004 0.315 0.794 0.427 5504p* 5**13-2(2) -.

3-2 年齢層 97 92.4% 230 74.4% 127 35.4% 59 16.8% 513 45.6% 443.795 0.000 ** 4 3.8% 60 19.4% 176 49.0% 120 34.1% 360 32.0% 4 3.8% 13 4.2% 38 10.6% 72 20.5% 127 11.3% 0 0.0% 6 1.9% 18 5.0% 101 28.7% 125 11.1% 76 72.4% 279 90.3% 335 93.3% 323 91.8% 1013 90.0% 42.006 0.000 ** 29 27.6% 30 9.7% 24 6.7% 29 8.2% 112 10.0% 47 44.8% 85 27.5% 97 27.0% 144 40.9% 373 33.2% 43.981 0.000 ** 15 14.3% 77 24.9% 66 18.4% 55 15.6% 213 18.9% 10 9.5% 36 11.7% 32 8.9% 30 8.5% 108 9.6% 20 19.0% 56 18.1% 71 19.8% 45 12.8% 192 17.1% 13 12.4% 55 17.8% 93 25.9% 78 22.2% 239 21.2% 105 9.3% 309 27.5% 359 31.9% 352 31.3% 1125 100.0% 年齢層 3.278 0.001 ** 1.176 0.240 0.835 0.404 1.295 0.195 3.457 0.001 ** 2.461 0.014 * 2.599 0.009 ** 2.904 0.004 ** 0.702 0.482 0.457 0.648 1.284 0.199 2.202 0.028 * 0.141 0.888 1.811 0.070 2.556 0.011 * 2.515 0.012 * 3.613 0.000 ** 1.058 0.290 0.634 0.526 1.395 0.163 3.912 0.000 ** 2.968 0.003 ** 1.991 0.046 * 1.169 0.243 -

3-3 ( 単位 : 人 ) 43 69 45 27 3 10 37 52 1 5 10 30 0 1 5 35 373 14 57 23 5 0 15 32 25 1 3 5 10 0 2 6 15 213 9 28 11 7 0 5 15 9 1 2 4 9 0 1 2 5 108 19 40 19 4 1 14 43 18 0 1 7 8 0 1 2 15 192 12 36 29 16 0 16 49 16 1 2 12 15 0 1 3 31 239 97 230 127 59 4 60 176 120 4 13 38 72 0 6 18 101 1125 資産残高年齢層 26.443 32.397 6.988 7.798 0.009 ** 0.001 ** 0.858 0.453 ( 単位 :%) 資産残高年齢層 44.3 30.0 35.4 45.8 75.0 16.7 21.0 43.3 25.0 38.5 26.3 41.7 0 16.7 27.8 34.7 33.2 14.4 24.8 18.1 8.5 0.0 25.0 18.2 20.8 25.0 23.1 13.2 13.9 0 33.3 33.3 14.9 18.9 9.3 12.2 8.7 11.9 0.0 8.3 8.5 7.5 25.0 15.4 10.5 12.5 0 16.7 11.1 5.0 9.6 19.6 17.4 15.0 6.8 25.0 23.3 24.4 15.0 0.0 7.7 18.4 11.1 0 16.7 11.1 14.9 17.1 12.4 15.7 22.8 27.1 0.0 26.7 27.8 13.3 25.0 15.4 31.6 20.8 0 16.7 16.7 30.7 21.2 8.6 20.4 11.3 5.2 0.4 5.3 15.6 10.7 0.4 1.2 3.4 6.4 0 0.5 1.6 9.0 100.0 (1)(2)(2) 年齢層 p3-1(1) - -

3-4 年齢層年齢層 283 48.3% 230 42.7% 105 9.3% 4.062 0.255 174 29.7% 186 34.5% 309 27.5% 65 11.1% 62 11.5% 359 31.9% 64 10.9% 61 11.3% 352 31.3% 62 10.6% 43 8.0% 105 9.3% 11.267 0.010 * 162 27.6% 147 27.3% 309 27.5% 163 27.8% 196 36.4% 359 31.9% 199 34.0% 153 28.4% 352 31.3% 307 52.4% 144 26.7% 451 40.1% 106.880 0.000 ** 217 37.0% 226 41.9% 443 39.4% 62 10.6% 169 31.4% 231 20.5% 195 33.3% 136 25.2% 120 10.7% 10.210 0.006 ** 338 57.7% 336 62.3% 674 59.9% 53 9.0% 67 12.4% 331 29.4% 586 52.1% 539 47.9% 1125 100.0% 513 0.144 360-0.081 127-0.162 125-0.193 105-0.124 309-0.213 359-0.269 352 0.498 451 0.951 443-0.188 231-1.495 331 0.214 674-0.083 120-0.125 406 219 625 180 320 500 586 539 1125 0.105 64.5% 10

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