Corporate pension funds’ search for yield with private equity investment: Its determinants and consequences
研究了企业养老基金在业绩低于预期后，通过增加私募股权配置来追求收益的行为，发现这种行为在财务受限且资金不足的企业中更明显，但并未显著提高收益，反而降低了波动性。
Abstract This study examines corporate pension funds’ search for yield through investments in private equity (PE). Using pension asset allocation data from 10‐K filings, we find that corporate pension funds significantly increase the PE share within their risky assets following underperformance relative to their expected return. This risk‐taking behavior is more pronounced for sponsoring firms that were more financially constrained with poorly funded plans in the previous year. Furthermore, we discover that pension asset allocation to PE does not significantly increase pension returns but does lower pension return volatility and tracking error relative to the expected return.