This paper examines the empirical question of whether systematic equity risk of US firms as measured by beta from the capital asset pricing model reflects the risk of their pension plans. There are a number of reasons to suspect that it might not. Chief among them is the opaque set of accounting rules used to report pension assets, liabilities, and expenses. Pension plan assets and liabilities ...

Most of the international asset pricing models are developed in the situation where purchasing power parity (PPP) is not respected.Investors of different countries do not agree on expected security returns. However, in this case, an equilibrium on the international assets market may exist but not on the international goods market. Our purpose in this paper is to give conditions under which we h...

By exploiting the structural tax rate changes created by the Bush-era tax acts in 2001 and 2003, this study offers a first direct investigation of how the differential taxation of financial assets affects households’ asset location and allocation into taxable and tax-deferred accounts in a natural experimental framework. Because bonds are heavily taxed assets, relative to stocks, and tax treatm...

Many political economy models explicitly formalize the political preferences of heterogeneous individuals who differ in their factor composition of capital and labor or in income. Such a formalization has produced extremely tractable results and offers an intuitive and rigorous way to analyze how political interests compete and coalesce in democratic countries. However, these analyses for the m...

In our contribution, we model bank profitability via return-on-assets (ROA) and return-on-equity (ROE) in a stochastic setting. We recall that the ROA is an indication of the operational efficiency of the bank while the ROE is a measure of equity holder returns and the potential growth on their investment. As regards the ROE, banks hold capital in order to prevent bank failure and meet bank cap...

We develop a two sector general equilibrium model with capital accumulation and convex adjustment costs. We use the model to study capital asset pricing and reallocation, as well as optimal consumption and investment decisions. With two sectors, the consumer balances diversification against the potential productivity and efficiency gains of investing more heavily in one sector. The general fram...

Most of the international asset pricing models are developed in the second situation where purchasing power parity (PPP) is not respected.Investors of different countries do not agree on expected security returns. However, in this case, an equilibrium on the international assets market may exist but not on the international goods market. Our purpose in this paper is to give conditions under whi...

The objective of the article is to show the impact of various categories of risk factors related to intellectual resources, i.e. the components of intellectual capital, on their safety and going concern. Following an analysis of the literature on this subject and the authors' own observations, an attempt was made to define three types of risk models related to intellectual assets. A substantial...

We examine the optimal design of and interaction between capital and liquidity regulations. Banks, not internalizing fire sale externalities, overinvest in risky assets and underinvest in liquid assets in the competitive equilibrium. Capital requirements can alleviate the inefficiency, but banks respond by decreasing their liquidity ratios. When capital requirements are the only available tool,...