Risk-Taking of Institutional Investors: Evidence from US Defined Benefit Pension Plans

34 Pages Posted: 26 Mar 2010

Date Written: March 15, 2010

Abstract

We study the volatility of US defined benefit pension plans sponsored by private and public companies. We find significant differences in pension plan volatility related to the ownership of the sponsoring firm. The impact of the funded status of pension liabilities on risk-taking for publicly traded sponsors is more than twice as large as for private sponsors, and is driven by the sponsoring firm’s availability of cash. Pension plan returns are explained by both the upside and the downside risk exposures of their asset allocation but equity holdings are rebalanced only after negative excess returns.

Keywords: Pension Pans, Volatility, Defined Benefit, Risk

JEL Classification: G23, G2

Suggested Citation

Atanasova, Christina V. and Gatev, Evan, Risk-Taking of Institutional Investors: Evidence from US Defined Benefit Pension Plans (March 15, 2010). Available at SSRN: https://ssrn.com/abstract=1570925 or http://dx.doi.org/10.2139/ssrn.1570925

Christina V. Atanasova

Simon Fraser University ( email )

8888 University Drive
Burnaby, British Columbia V5A 1S6
Canada

Evan Gatev (Contact Author)

Simon Fraser University ( email )

Burnaby, British Columbia V5A 1S6
Canada

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
178
Abstract Views
1,153
Rank
317,045
PlumX Metrics