Corporate cross-holdings of equity, leverage and pensions: Simulation and empirical evidence from the UK
成果类型：
Article; Proceedings Paper
署名作者：
Trivedi, K; Young, G
署名单位：
Bank of England
刊物名称：
ECONOMIC JOURNAL
ISSN/ISSBN：
0013-0133
DOI：
10.1111/j.1468-0297.2006.01083.x
发表日期：
2006
页码：
C190-C208
关键词：
摘要：
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.