Working Papers

Wharton Pension Research Council Working Papers

• Movements In and Out of Poverty at Older Ages: Evidence from the HRS
  The objective of this paper is to determine Americans’ mobility patterns into and out of poverty in their later years. We track how older adults enter into and exit from poverty using the most extensive longitudinal survey on older Americans currently available, the Health and Retirement Study (HRS). Using over 20 years of data from […]
• Sufficient Statistics for Nonlinear Tax Systems with Preference Heterogeneity
  This paper provides general and empirically implementable sufficient statistics formulas for optimal nonlinear tax systems in the presence of preference heterogeneity. We study unrestricted tax systems on income and savings (or other commodities) that implement the optimal directrevelation mechanism, as well as simpler tax systems that impose common restrictions like separability between earnings and savings […]
• Sustainable Investment in Retirement Plans: Introduction
  Since its green shoots first emerged around fifty years ago, acceptance of environmental, social, and governance (ESG) considerations in institutional investing—especially at pension funds—has evolved with distinct shifts in investor preferences. This Pension Research Council volume traces these shifts and their implications, leading up to the present day. Our volume notes that investors have diverse […]
• ESG and Expected Returns on Equities: The Case of Environmental Ratings
  Using long-standing models for expected returns of US equities, we show that firm environmental ratings interact with those forecasted returns and produce excess returns both unconditionally and conditionally. Well-known factor models subsume neither environmental-related return differentials nor expected return premia from those scores and models. In addition, combining information from both inputs—expected return models and […]
• How the Norwegian SWF Balances Ethics, ESG Risks, and Returns: Can this Approach Work for Other Institutional Investors?
  As the largest sovereign wealth fund (SWF) in the world, the Norwegian SWF’s efforts to move in a more sustainable direction are often followed by other institutional investors. This chapter examines how the Norwegian SWF (officially, the Government Pension Fund – Global, or GPFG) has evolved into a responsible investor, balancing ethics, environment, social, and […]