Abstract
This article investigates investment strategies of Dutch pension funds, life insurers and nonlife insurers, using quarterly flow-of-funds data. The results suggest that all three investor types buy past losers and sell past winners, although they only partially rebalance their portfolios that way.
Notes
The views expressed are those of the authors and do not necessarily reflect official positions of De Nederlandsche Bank.
1Kakes (Citation2008) found that Dutch pension funds tend to buy (sell) equity and bonds when the prices of these assets are declining (rising), which points at contrarian trading. Bikker et al. (Citation2009) found that Dutch pension funds partly rebalance their portfolios but also allow for some free floating. Rubbaniy et al. (Citation2010) analysed monthly data on individual investment items and found both positive and negative feedback behaviour, depending on whether contemporaneous or lagged returns are considered.
2We use the Stata-code provided by Love and Zicchino (Citation2006).