scholarly journals How Defined, Benefit Pension Assets Affect the Returns and Volatility of the Sponsor’s Stock

2008 ◽  
Author(s):  
Brooks C Marshall ◽  
Timothy B. Michael ◽  
David M. Maloney ◽  
Faramarz Damanpour
Keyword(s):  
Risk Management ◽  
Stock Market ◽  
Asset Allocation ◽  
Potential Benefit ◽  
Defined Benefit ◽  
Risk And Return ◽  
Defined Benefit Plans ◽  
Pension Asset ◽  
Asset Classes ◽  
Underlying Risk

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.  

Expected Benefit Payments and Asset Allocation in Defined Benefit Plans Post-SFAS 132(R)

2018 ◽  
Vol 32 (3) ◽  
pp. 71-82
Author(s):  
Alan I. Blankley ◽  
Philip Keejae Hong ◽  
Kristin C. Roland
Keyword(s):  
Asset Allocation ◽  
Investment Decisions ◽  
Pension Plan ◽  
Pension Benefit ◽  
Defined Benefit ◽  
Defined Benefit Pension Plan ◽  
Defined Benefit Plans ◽  
Pension Asset ◽  
Short Horizon ◽  
Reporting Environment

SYNOPSIS We contribute to the literature examining defined benefit pension plan asset allocation in the post-SFAS 132(R) reporting environment. SFAS 132(R) requires firms to disclose the expected annual pension benefit payments, thus providing a direct way to measure pension plan payout horizon. Controlling for previously documented determinants of pension asset allocation, we find evidence that a payout horizon measure constructed from SFAS 132(R) disclosures is associated with the firm's pension investment decisions. Specifically, we document that firms with a greater proportion of pension obligations due in the short horizon allocate a smaller portion of their plan assets to equity investments. Additionally, we provide evidence that our proposed measure explains asset allocation over and above previously used proxies representing plan horizon, confirming the usefulness of the 132(R) mandated disclosures.

scholarly journals Aspects of volatility targeting for South African equity investors

2014 ◽  
Vol 17 (5) ◽  
pp. 691-699 ◽  
Author(s):  
Bhekinkosi Khuzwayo ◽  
Eben Mare
Keyword(s):  
South African ◽  
Asset Allocation ◽  
Implied Volatility ◽  
Equity Market ◽  
Risky Asset ◽  
Risk And Return ◽  
Asset Classes ◽  
The Absolute ◽  
Equity Index ◽  
Targeting Strategy

We consider so-called volatility targeting strategies in the South African equity market. These strategies are aimed at keeping the volatility of a portfolio consisting of a risky asset, typically an equity index, and cash fixed. This is done by changing the allocation of the assets based on an indicator of the future volatility of the risky asset. We use the three month rolling implied volatility as an indicator of future volatility to influence our asset allocation. We compare investments based on different volatility targets to the performance of bonds, equities, property as well as the Absolute Return peer mean. We examine risk and return characteristics of the volatility targeting strategy as compared to different asset classes.

The outlook for pension contributions and profits in the US

2004 ◽  
Vol 3 (1) ◽  
pp. 77-97 ◽  
Author(s):  
ALICIA H. MUNNELL ◽  
MAURICIO SOTO
Keyword(s):  
Stock Market ◽  
Pension Plan ◽  
Pension Plans ◽  
Ageing Population ◽  
Defined Benefit ◽  
Bear Market ◽  
Defined Benefit Plans ◽  
Legislative Changes ◽  
Corporate Profits ◽  
The Impact

The bear market that began in 2000 focused attention on two issues – pensions and profits. The initial pension problem was the big decline in value of individual 401(k) accounts. The profit issue was misconduct and stock options. In fact, there is another compelling issue involving both pensions and profits – the impact of the bear market on defined benefit pension plans.Plan sponsors have a projected benefit liability, which until recently was covered by the rise in asset values during the extended bull market. When stock values fell by 50 percent, sponsors for the first time in decades had to contribute to their pensions. But even without the decline in the stock market, sponsors of defined benefit plans were going to face increased pension contributions in the coming decade. The reason is a host of regulatory and legislative changes in the late 1980s that slowed or limited pension contributions.Our analysis suggests that in the absence of the stock market boom and the regulatory and legislative changes that reduced funding, the average firm's contribution to its pension plan would have been 50 percent higher during the 1982–2001 period; corporate profits would have been roughly 5 percent lower.The deferred contributions are coming due. The decline in the stock market and an ageing population imply that contributions would double from their current level. As the economy emerges from recession and the bear market draws to a close, firms and investors must be prepared to contend with a strong headwind from pension funding obligations that could slow the recover.

scholarly journals Jumps and Cojumps analyses of major and minor cryptocurrencies

PLoS ONE ◽  
2021 ◽  
Vol 16 (2) ◽  
pp. e0245744
Author(s):  
Piyachart Phiromswad ◽  
Pattanaporn Chatjuthamard ◽  
Sirimon Treepongkaruna ◽  
Sabin Srivannaboon
Keyword(s):  
Risk Management ◽  
Stock Market ◽  
Asset Allocation ◽  
Stock Market Index ◽  
Jump Size ◽  
Market Index ◽  
Jump Intensity

This paper empirically examines jumps and cojumps of both major and minor cryptocurrencies. Understanding the nature of their jumps and cojumps plays an important role in risk management, asset allocation and pricing of derivatives. We find that all cryptocurrencies display significant jumps. Furthermore, minor cryptocurrencies appear to have significantly higher jump intensity and jump size than major cryptocurrencies. Finally, we find that cojumps of the Thai stock market index and minor cryptocurrencies have a greater intensity than that of major cryptocurrencies.

Asset Allocation for Defined Benefit Plans

2004 ◽  
pp. 85-111
Author(s):  
August Baker ◽  
Dennis E. Logue ◽  
Jack S. Rader
Keyword(s):  
Asset Allocation ◽  
Defined Benefit ◽  
Defined Benefit Plans
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