Familiarity Breeds Alternative Investment: Evidence from Corporate Defined-Benefit Pension Plans

Christina Atanasova and Gilles Chemla
Additional contact information
Christina Atanasova: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Gilles Chemla: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

Working Papers from HAL

Abstract: We show that corporate R&D intensity and Land and Buildings intensity increase sponsored defined-benefit pension plan investment in private equity and real estate, respectively. Pension funds with such alternative investment tilts underperform significantly, which is inconsistent with plans benefiting from an informational advantage or asset-specific expertise. We find some evidence consistent with the existence of spillovers between pension funds with portfolio tilts and their corporate sponsors. Our results are consistent with theories of familiarity based on ambiguity aversion and on fear of the unknown. This familiarity bias in asset allocation is both robust and economically significant.

Keywords: Pension plans; Sponsor; R&D; L&B; Alternative assets; Private equity; Real estate; Tilt; Information; Spillover; Familiarity (search for similar items in EconPapers)
Date: 2017-01-31
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-01451096

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().