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

Listed author(s):
  • Ebrahim, M. Shahid
  • Mathur, Ike
  • ap Gwilym, Rhys

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.

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File URL: http://www.sciencedirect.com/science/article/pii/S037842661400243X
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 49 (2014)
Issue (Month): C ()
Pages: 553-569

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Handle: RePEc:eee:jbfina:v:49:y:2014:i:c:p:553-569
DOI: 10.1016/j.jbankfin.2014.05.032
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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