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

Ebrahim, M.S. and Mathur, I. and ap Gwilym, R. (2014) Integrating corporate ownership and pension fund structures: A general equilibrium approach. Journal of Banking & Finance, 49. 553–569. DOI: 10.1016/j.jbankfin.2014.05.032

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Abstract

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.

Item Type: Article
Subjects: Research Publications
Departments: College of Business, Law, Education and Social Sciences > Bangor Business School
Date Deposited: 20 Feb 2015 03:37
Last Modified: 23 Sep 2015 02:55
ISSN: 0378-4266
URI: http://e.bangor.ac.uk/id/eprint/3540
Identification Number: DOI: 10.1016/j.jbankfin.2014.05.032
Publisher: Elsevier
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