Marshall, Brooks and Michael, Timothy B. and Maloney, David M and Damanpou, Faramarz (2008) How Defined, Benefit Pension Assets Affect the Returns and Volatility of the Sponsor’s Stock. The International Journal of Banking and Finance, 5 (2). pp. 87-100. ISSN 1617-722

PDF Restricted to Registered users only Download (98kB)

Abstract

In its valuation of firms with defined benefit plans, the stock market combines changes in the valuation of pension assets with changes in the valuation of the net core assets. Unfortunately, aggregating the two disparate asset classes in valuation discards information about both classes. This work shows that by extracting the pension component of returns, two types of insights result: first, an enhanced understanding of the underlying risk and return of the firm’s net core assets; and, second, an enhanced perspective of the potential benefit from incorporating pension asset allocation into overall risk management.

Item Type:	Article
Uncontrolled Keywords:	Pension, Risk management, Valuation, Assets
Subjects:	H Social Sciences > HG Finance
Divisions:	School of Economics, Finance & Banking
Depositing User:	Mrs. Norazmilah Yaakub
Date Deposited:	31 Oct 2018 01:03
Last Modified:	31 Oct 2018 01:03
URI:	https://repo.uum.edu.my/id/eprint/25090

Actions (login required)

View Item