Nonassignable Pensions and the Price of Risk
用资本资产定价模型分析养老金负债对经济中风险价格的影响，并探讨养老金保险的作用，对理解养老金与股票市场关系有理论意义。
THE TRADITIONAL FLOW OF FUNDS THROUGH THE ECONOMY has been altered by the rapid growth of pension funds and by new definitions of pension rights contained in the Employee Retirement Income Security Act of 1974 (ERISA). ERISA and the growth of pension plans in general have been cited as significant factors influencing the performance of the stock market in recent years. It is now widely accepted that unfunded liabilities of defined benefit pension plans reduce the value and increase the riskiness of a firm's stock.l Oldfield (1977), Feldstein and Seligman (1981), and Gersovitz (1982) found that unfunded pension liabilities had a statistically significant effect on a firm's stock price given the firm's systematic risk and the market price of risk. However, the impact of private pension liabilities on an economy's market price of risk has not been made clear. This paper addresses this neglected issue at a theoretical level, and in so doing also addresses the impact of pension insurance on the market price of risk. The theoretical framework used in this analysis is the capital asset pricing model (CAPM) with nonmarketable assets, a model that was originally developed by Mayers (1972). This framework is appropriate for the analysis of pensions for several reasons. First, the pension insurance mandated by ERISA can be modeled in a meaningful way that includes aggregate balance sheet identities and incorporates future taxes to support guaranteed pension benefits.2 Second, increases in pension