Abstract

http://ssrn.com/abstract=931237
 
 

References (54)



 
 

Citations (40)



 


 



Risk Shifting Versus Risk Management: Investment Policy in Corporate Pension Plans


Joshua D. Rauh


Stanford Graduate School of Business; National Bureau of Economic Research (NBER)

June 24, 2007


Abstract:     
The asset allocation of defined benefit pension plans is a setting where both risk shifting and risk management incentives are likely be present. Empirically, firms with poorly funded pension plans and weak credit ratings allocate a greater share of pension fund assets to safer securities such as government debt and cash, whereas firms with well-funded pension plans and strong credit ratings invest more heavily in equity. These relations hold both in the cross-section and within firms and plans over time. The incentive to limit costly financial distress plays a considerably larger role than risk shifting in explaining variation in pension fund investment policy among U.S. firms.

Number of Pages in PDF File: 61

Keywords: Risk Shifting, Risk Management, Pensions, Asset Allocation

JEL Classification: G31, G32, G23, G39

working papers series





Download This Paper

Date posted: September 20, 2006  

Suggested Citation

Rauh, Joshua D., Risk Shifting Versus Risk Management: Investment Policy in Corporate Pension Plans (June 24, 2007). Available at SSRN: http://ssrn.com/abstract=931237 or http://dx.doi.org/10.2139/ssrn.931237

Contact Information

Joshua D. Rauh (Contact Author)
Stanford Graduate School of Business ( email )
518 Memorial Way
Stanford, CA 94305-5015
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Feedback to SSRN


Paper statistics
Abstract Views: 1,835
Downloads: 451
Download Rank: 31,678
References:  54
Citations:  40

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.282 seconds