TY - JOUR

T1 - Integrating corporate ownership and pension fund structures: A general equilibrium approach

AU - Ebrahim, M.S.

AU - Mathur, I.

AU - ap Gwilym, R.

PY - 2014/8/5

Y1 - 2014/8/5

N2 - This paper studies pension fund design in the context of investment in the debt and equity of a firm. We employ a general equilibrium framework to demonstrate that: (i) the asset location ‘puzzle’ is purely a partial equilibrium phenomenon, conceived in a risk neutral setting, that disappears with the introduction of sufficient risk aversion; (ii) the inability of policy makers to manage an economy with multiple firms yields a mixed equilibrium, where bonds are observed in both taxable and tax-deferred accounts; and (iii) the Pareto-efficient pension plan comprises of a defined benefit plan.

AB - This paper studies pension fund design in the context of investment in the debt and equity of a firm. We employ a general equilibrium framework to demonstrate that: (i) the asset location ‘puzzle’ is purely a partial equilibrium phenomenon, conceived in a risk neutral setting, that disappears with the introduction of sufficient risk aversion; (ii) the inability of policy makers to manage an economy with multiple firms yields a mixed equilibrium, where bonds are observed in both taxable and tax-deferred accounts; and (iii) the Pareto-efficient pension plan comprises of a defined benefit plan.

U2 - 10.1016/j.jbankfin.2014.05.032

DO - 10.1016/j.jbankfin.2014.05.032

M3 - Article

VL - 49

SP - 553

EP - 569

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

ER -