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Vállalati nyugdíjkötelezettségek és a részvények kockázata - tőkeáttétel és kereszttulajdonlás
[Corporate pension liabilities and risk of stocks - leverage and cross-holding]

Author

Listed:
  • Móricz, Dániel

Abstract

Az írás az Egyesült Államokban a magánalapon működő, szolgáltatással meghatározott vállalati nyugdíjprogramoknak a részvények kockázatára gyakorolt hatásával foglalkozik. A szolgáltatási nyugdíjprogramok eszközei között általában magas a részvények aránya, míg a kifizetések nem függnek a befektetési teljesítménytől. A nyugdíjalap eszközeinek teljesítménye ezáltal egyrészt a tőkeáttétel növelésén, másrészt - miután a vállalatok egymás részvényeit tartják a nyugdíjalapokban - egyfajta kereszttulajdonlási hatáson keresztül befolyásolja a programot működtető vállalat és részvényeinek hozamát, kockázatát. Ennek jelentőségére különösen az ezredfordulót követő tőkepiaci folyamatok világítottak rá: az alacsony szintre süllyedő kamatok felértékelték a nyugdíjkötelezettséget, míg a részvénypiac gyengébb teljesítményének következtében csökkent a járadékígéretek fedezetének értéke. A tanulmány egy CAPM alapú modellben mutatja be, hogy a szolgáltatási nyugdíjprogramok esetében jelentkező tőkeáttételi és kereszttulajdonlási hatás növelheti a részvénypiac volatilitását, módosíthatja a részvények szisztematikus kockázatát és az egyedi, nem diverzifikálható variancia arányát. Journal of Economic Literature (JEL) kód: G11, G12, G23, G32.

Suggested Citation

  • Móricz, Dániel, 2006. "Vállalati nyugdíjkötelezettségek és a részvények kockázata - tőkeáttétel és kereszttulajdonlás [Corporate pension liabilities and risk of stocks - leverage and cross-holding]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 144-157.
    • Handle: RePEc:ksa:szemle:821
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    References listed on IDEAS

    as
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    3. Jeremy I. Bulow & Myron S. Scholes, 1983. "Who Owns the Assets in a Defined-Benefit Pension Plan?," NBER Chapters, in: Financial Aspects of the United States Pension System, pages 17-36, National Bureau of Economic Research, Inc.
    4. Jeremy I. Bulow, 1982. "What are Corporate Pension Liabilities?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 97(3), pages 435-452.
    5. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    6. Julia Lynn Coronado & Steven A. Sharpe, 2003. "Did Pension Plan Accounting Contribute to a Stock Market Bubble?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(1), pages 323-371.
    7. Barth, Mary E. & Beaver, William H. & Landsman, Wayne R., 1992. "The market valuation implications of net periodic pension cost components," Journal of Accounting and Economics, Elsevier, vol. 15(1), pages 27-62, March.
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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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