NBER Working Papers · 2026 · Aleksandar Andonov、Kristy A. E. Jansen、Joshua Rauh
中文摘要
养老基金是负债结构可预测的长期投资者。因此，它们常被视为能够提供流动性并稳定市场的投资者。然而，随着给付支出超过缴费收入，养老基金日益面临负的经营现金流。我们利用美国公共养老基金的总体数据，结合通过公共记录申请获得的细粒度持仓数据，记录了三个发现，挑战了养老基金作为稳定型投资者的传统观点。第一，现金流更为负向的养老基金并未调整其目标资产配置，且维持对安全与流动性资产的低配置。第二，由于这些安全资产缓冲有限，养老基金主要通过抛售股票来应对现金流冲击，每一美元冲击中有0.67美元通过股票抛售被吸收。在证券层面，养老基金在各类股票之间普遍抛售，而非遵循优先出售安全与流动性资产的方式。第三，即便股票回报为负，养老基金仍会抛售股票，表明这些交易反映的是流动性需求而非投资组合再平衡。综合来看，这些发现表明养老基金已成为股票市场中的常规卖方，而非逆势而为的稳定型投资者。
Abstract
Pension funds are long-horizon investors with predictable liability structures. As such, they are often perceived as investors who can provide liquidity and stabilize markets. However, pension funds increasingly face negative operating cash flows as benefit payments exceed contributions. Using aggregate data on U.S. public pension funds combined with granular holdings obtained through public records requests, we document three findings that challenge the conventional view of pension funds as stabilizing investors. First, pension funds with more negative cash flows do not adjust their target asset allocations and maintain low allocations to safe and liquid assets. Second, because of these limited safe asset buffers, pension funds meet cash flow shocks primarily by selling equities, absorbing $0.67 per dollar of shock through equity sales. At the security level, pension funds sell across equities rather than following a safe and liquid-assets-first approach. Third, pension funds sell equities even when equity returns are negative, indicating that these trades reflect liquidity needs rather than portfolio rebalancing. Together, these findings show that pension funds have become regular sellers in equity markets rather than contrarian, stabilizing investors.