Integrating corporate ownership and pension fund structures: A general equilibrium approach
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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.
| Original language | English |
|---|---|
| Pages (from-to) | 553–569 |
| Journal | Journal of Banking and Finance |
| Volume | 49 |
| DOIs | |
| Publication status | Published - 5 Aug 2014 |