Corporate Cross-Holdings of Equity, Leverage and Pensions : Simulation, and Empirical Evidence From The UK  

Oleh:

Young, Garry ; Trivedi, Kamakshya

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 116 no. 510 (2006), page C190-C208.
Topik: stock market; corporate; cross - holdings; leverage; pensions; simulation; evidence
Fulltext: C190.pdf (282.05KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.21 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This article examines the role of defined benefit company pensions in amplifying the effect of common shocks to companies' stock market valuations. It identifies and evaluates the significance of two channels of amplification : cross - holdings of equities in pension scheme assets and leverage induced by pension liabilities. Econometric analysis of weekly stock market data for a sample of FTSE 350 UK companies confirm that these effects are statistically significant and robust to outlying observations.

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