Empirical analysis of investment strategies for institutional investors

This thesis consists of three parts that examine several topics concerning institutional asset management. In Part I, investment strategies based on stock returns in previous months known as momentum strategies are investigated in more detail. More specifically, the driving forces behind these strategies are studied with emphasis on the European stock markets. In Part II, the asset allocation policy of retirements savings plans is analyzed. The influence of new pension fund regulations in the Netherlands is examined, as well as the potential risk reduction that alternative assets such as commodities might have. The third and last part studies the investment behavior of mutual funds. We describe a novel method for dynamic return-based style analysis and analyze fund manager selectivity and timing skill of mutual funds with an asset allocation objective.