How Do Retirees Value Life Annuities? Evidence from Public Employees

We thank Pierluigi Balduzzi, Daniel Bergstresser, Jeffrey Brown (discussant), John Campbell, David Chapman, Daniel Cooper, Cliff Holderness, Edie Hotchkiss, Alexander Ljungqvist (editor), Alan Marcus, Robin McKnight, Bertrand Melenberg, Ali Ozdagli, Joshua Rauh, Antoinette Schoar, Phil Strahan, Peter Tufano, Eric Zitzewitz, an anonymous referee, and participants at the 2010 Netspar Pension Workshop, 2010 Boston Area Consumer Finance Working Group, and 2011 American Finance Association Meetings in Denver for helpful discussions related to this project. We thank Benjamin Goodman for providing data on how TIAA priced life annuities over our sample period, and we thank employees from the Oregon Public Employees Retirement System who provided invaluable assistance by compiling and helping us to interpret their data. Because PERS was subject to major legislative changes in late 2003, our description of the system only applies to the period for which we possess data. This research was supported by the U.S. Social Security Administration through grant #10-M-98363-1-01 to the National Bureau of Economic Research as part of the SSA Retirement Research Consortium. The findings and conclusions expressed are solely those of the authors and do not represent the views of SSA, any agency of the Federal Government, or the NBER.

• December 5, 2011