How Defined, Benefit Pension Assets Affect the Returns and Volatility of the Sponsor’s Stock
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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Utara Malaysia
2008-08-01
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| Series: | The International Journal of Banking and Finance |
| Subjects: | |
| Online Access: | https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8369 |
| _version_ | 1797958158672461824 |
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| author | Brooks Marshall Timothy B. Michael David M. Maloney Faramarz Damanpour |
| author_facet | Brooks Marshall Timothy B. Michael David M. Maloney Faramarz Damanpour |
| author_sort | Brooks Marshall |
| collection | DOAJ |
| description | 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.
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| first_indexed | 2024-04-11T00:14:55Z |
| format | Article |
| id | doaj.art-0476374923464579abdeb1eec2153e01 |
| institution | Directory Open Access Journal |
| issn | 2811-3799 2590-423X |
| language | English |
| last_indexed | 2024-04-11T00:14:55Z |
| publishDate | 2008-08-01 |
| publisher | Universiti Utara Malaysia |
| record_format | Article |
| series | The International Journal of Banking and Finance |
| spelling | doaj.art-0476374923464579abdeb1eec2153e012023-01-09T03:08:44ZengUniversiti Utara MalaysiaThe International Journal of Banking and Finance2811-37992590-423X2008-08-0152How Defined, Benefit Pension Assets Affect the Returns and Volatility of the Sponsor’s StockBrooks Marshall0Timothy B. Michael1David M. Maloney2Faramarz Damanpour3James Madison UniversityUniversity of VirginiaUniversity of HoustonJames Madison UniversityIn 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. https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8369PensionRisk managementValuationAssets |
| spellingShingle | Brooks Marshall Timothy B. Michael David M. Maloney Faramarz Damanpour How Defined, Benefit Pension Assets Affect the Returns and Volatility of the Sponsor’s Stock The International Journal of Banking and Finance Pension Risk management Valuation Assets |
| title | How Defined, Benefit Pension Assets Affect the Returns and Volatility of the Sponsor’s Stock |
| title_full | How Defined, Benefit Pension Assets Affect the Returns and Volatility of the Sponsor’s Stock |
| title_fullStr | How Defined, Benefit Pension Assets Affect the Returns and Volatility of the Sponsor’s Stock |
| title_full_unstemmed | How Defined, Benefit Pension Assets Affect the Returns and Volatility of the Sponsor’s Stock |
| title_short | How Defined, Benefit Pension Assets Affect the Returns and Volatility of the Sponsor’s Stock |
| title_sort | how defined benefit pension assets affect the returns and volatility of the sponsora€™s stock |
| topic | Pension Risk management Valuation Assets |
| url | https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8369 |
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