Corporate Cross‐Holdings of Equity, Leverage and Pensions
Simulation and Empirical Evidence from the UK
Bibliographic Data
| ID | 9709440 |
|---|---|
| Authors | Kamakshya Trivedi (Bank of England), Garry Young (0000-0003-0628-0931, Bank of England) |
| Year | 2006 |
| Volume | 116 |
| Issue | 510 |
| Pages | C190-C208 |
| Publication date | 2006-03-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/j.1468-0297.2006.01083.x |
| OpenAlex | W2109983931 |
| Language | EN |
| References cited | 14 |
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. Copyright 2006 Bank of England
Business · Econometrics · Economics · Empirical evidence · Equity (law · Financial economics · Leverage (statistics · Political science · Computer Science · Financial Literacy, Pension, Retirement Analysis · Financial Markets and Investment Strategies · Housing Market and Economics
| Citation velocity | historical |
|---|---|
| Highly cited | No |