Oppdrag for de norske Finansdepartementet om pensjonsfond utland
Netspar, som er et nederlandsk nettverk for pensjonsstudier, har fått oppdrag fra det norske Finansdepartementet. Forskerne ble blant annet bedt om å undersøke hvilke muligheter Statens pensjonsfond utland (SPU) har for å tjene på likviditetspremier i illikvide investeringer. Bakgrunnen er at pensjonsfondet er en stor investor med en lang horisont med kortsiktige likviditetsbehov og høy risikoevne.
The first set of questions is about the theoretical motivation for liquidity premiums. Under what circumstances and for which types assets can one expect the presence of a liquidity premium? What are the sources of illiquidity and do they matter for the magnitude of liquidity premiums?
The second set of questions concern the empirical evidence. In which asset classes is there a liquidity premium? How large are these premiums? What are the potential obstacles to profit from these? Historically, liquidity premiums in some markets seem to be high, but what is the recent evidence? What is the impact of the dramatic changes in financial market structure (the move to fully electronic trading, high frequency trading and increased competition between exchanges) over the last decade?
A third set of questions are more specifically about the measures of liquidity. Theoretically, what measure of liquidity should one use? And practically, does one need intraday transaction data to estimate liquidity or are approximate measures based on daily data sufficient?
The final set of questions concerns the rebalancing towards the strategic investment portfolio. How does illiquidity affect the timing and size of rebalancing trades? What is the trade-off between costs of rebalancing trades and the costs of a suboptimal asset allocation? In this report, we focus on long-term investment and rebalancing strategies. We do not investigate how investors can profit from illiquidity by acting as a liquidity provider using intraday high-frequency trading.
In this report, we provide an extensive overview of the recent academic literature concerning these questions. We do not strive for completeness of the review, although we think we cover the most important work. Instead, we focus on the most recent and the most relevant work for answering the questions of the ministry. Section 1 gives a summary of the main findings and our recommendations.