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dc.contributor.authorMohan, Nancyen_US
dc.contributor.authorZhang, Tingen_US
dc.date.accessioned2012-05-16en_US
dc.date.accessioned2012-09-26T12:54:43Z-
dc.date.available2012-09-26T12:54:43Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/64333-
dc.description.abstractThis paper investigates the determinants of public pension plan risk-taking behavior using the percentage of total plan assets invested in the equity markets and the pension asset beta as measures of investment risk. We find that government accounting standards strongly affect public fund investment risk, as higher return assumptions (used to discount pension liabilities) are associated with higher equity allocation and beta. Unlike private pension plans, public funds undertake more risk if they are underfunded and have lower investment returns in the previous years, consistent with the risk transfer hypothesis. Furthermore, pension funds in states facing financial constraints allocate more assets to equity and have higher pension asset betas. There also appears to be a herding effect in that a change in CalPERS portfolio beta or equity allocation is mimicked by other pension funds. Finally, the results offer mild support of a public union effect.en_US
dc.language.isoengen_US
dc.publisherW.E. Upjohn Inst. for Employment Research Kalamazoo, Mich.en_US
dc.relation.ispartofseriesUpjohn Institute Working Paper 12-179en_US
dc.subject.jelG23en_US
dc.subject.jelH75en_US
dc.subject.jelG11en_US
dc.subject.ddc330en_US
dc.subject.keywordpublic pension fundsen_US
dc.subject.keywordinvestment risken_US
dc.subject.keywordstate financial constraintsen_US
dc.subject.keywordrisk transferen_US
dc.subject.keywordgovernment accountingen_US
dc.titleAn analysis of risk-taking behavior for public defined benefit pension plansen_US
dc.typeWorking Paperen_US
dc.identifier.ppn715802208en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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