Defined Benefit Pension Plan Liabilities and International Asset Allocation.
dc.contributor.author | Yang, Tongxuan | |
dc.date.accessioned | 2007-04-25T17:37:26Z | |
dc.date.available | 2007-04-25T17:37:26Z | |
dc.date.issued | 2003-10 | |
dc.identifier.uri | https://hdl.handle.net/2027.42/50561 | |
dc.description.abstract | Despite the integration of international capital markets and the relaxation of capital controls, U.S. defined benefit pension plans do not sufficiently diversify their assets across international holdings. In this paper, we explore whether incorporating liabilities in the asset allocation decision can help explain pension plans’ home bias. We find that incorporating pension liabilities proves not to explain pension plan home bias in the case when returns are nominal. Furthermore, when we focus on real returns, incorporating pension plan liabilities makes the home bias puzzle worse. The fact remains that U.S. defined benefit pension plans could benefit substantially from more international investment. | en |
dc.description.sponsorship | Social Security Administration | en |
dc.format.extent | 327936 bytes | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en_US | en |
dc.publisher | Michigan Retirement Research Center, University of Michigan, P.O. Box 1248, Ann Arbor, MI 48104 | en |
dc.relation.ispartofseries | WP 2003-058 | en |
dc.title | Defined Benefit Pension Plan Liabilities and International Asset Allocation. | en |
dc.type | Working Paper | en |
dc.subject.hlbsecondlevel | Population and Demography | |
dc.subject.hlbtoplevel | Social Sciences | |
dc.contributor.affiliationother | University of Pennsylvania | en |
dc.contributor.affiliationumcampus | Ann Arbor | en |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/50561/1/wp058.pdf | en_US |
dc.owningcollname | Retirement and Disability Research Center, Michigan (MRDRC) |
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