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

Authors

  • Brooks Marshall James Madison University, United States
  • Timothy B. Michael University of Virginia, United States
  • David M. Maloney University of Houston, United States
  • Faramarz Damanpour James Madison University, United States

DOI:

https://doi.org/10.32890/ijbf2008.5.2.4

Keywords:

Pension, Risk management, Valuation, Assets

Abstract

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.

 

References

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Published

18-08-2008

Issue

Vol. 5 No. 2 (2008): International Journal of Banking and Finance (IJBF) Vol. 5, No.2, 2008

Section

Articles

How to Cite

Marshall, B., Michael, T. B., Maloney, D. M., & Damanpour, F. (2008). How Defined, Benefit Pension Assets Affect the Returns and Volatility of the Sponsor’s Stock. International Journal of Banking and Finance, 5(2), 87-100. https://doi.org/10.32890/ijbf2008.5.2.4

Research impact

Harvested 2026-09-07
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Identifiers DOI 10.32890/ijbf2008.5.2.4 OpenAlex W6991645847