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dc.contributor.authorMohan, Nancyen
dc.contributor.authorZhang, Tingen
dc.date.accessioned2012-05-16-
dc.date.accessioned2012-09-26T12:54:43Z-
dc.date.available2012-09-26T12:54:43Z-
dc.date.issued2012-
dc.identifier.pidoi:10.17848/wp12-179en
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
dc.language.isoengen
dc.publisher|aW.E. Upjohn Institute for Employment Research |cKalamazoo, MIen
dc.relation.ispartofseries|aUpjohn Institute Working Paper |x12-179en
dc.subject.jelG23en
dc.subject.jelH75en
dc.subject.jelG11en
dc.subject.ddc330en
dc.subject.keywordpublic pension fundsen
dc.subject.keywordinvestment risken
dc.subject.keywordstate financial constraintsen
dc.subject.keywordrisk transferen
dc.subject.keywordgovernment accountingen
dc.titleAn analysis of risk-taking behavior for public defined benefit pension plans-
dc.typeWorking Paperen
dc.identifier.ppn715802208en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:upj:weupjo:12-179en

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