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Korean J Financ Stud > Volume 46(5); 2017 > Article
Korean Journal of Financial Studies 2017;46(5):1033-1060.
DOI: https://doi.org/10.26845/KJFS.2017.12.46.5.103    Published online December 31, 2017.
The Price Impact of NPS in Korean Stock Market and Optimal Asset Allocation to Domestic and Foreign Stocks
Minjeong Kang, Byung-June Kim, Bong-Gyu Jang
국민연금기금의 국내 주식시장에 대한 영향력을 고려한 최적 투자 전략
강민정, 김병준, 장봉규
1한국주택금융
2POSTECH
Abstract
We extend Lucas and Zeldes (2009) to a two-period model with two risky assets. We assume that investments in domestic stocks by National Pension System (NPS) have price impact while those in foreign stocks do not. We also assume that NPS has a positive price impact in period one and a negative impact in period two. By doing so we attempt to reflect two key issues facing NPS. That is, NPS is heavily invested in domestic stocks, which accounts for more than six percent of Korean stock market, and NPS is expected to go bankrupt in the next couple of decades. Under various scenarios we provide optimal asset allocation decisions to minimize the expected utility losses caused by distortionary taxes. Our results suggest that NPS take into account price impact it can have on the Korean stock market when forming their portfolios and increase their portfolio weights in foreign stocks.
Key Words: 국민연금기금,가격 영향력,왜곡된 형태의 세금,최적 자산 배분,순보험료,NPS,Price Impact,Optimal Asset Allocation,Distortionary Taxes,Net Contribution
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