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Durham University

Research & business

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Publication details for Professor Muhammed-Shahid Ebrahim

Ebrahim, M. S., Mathur, I. & Gwilym, R. A. (2014). Integrating corporate ownership and pension fund structures: A general equilibrium approach. Journal of Banking & Finance 49: 553-569.

Author(s) from Durham


This paper studies pension fund design in the context of investment in the debt and equity of a firm. We employ a general equilibrium framework to demonstrate that: (i) the asset location ‘puzzle’ is purely a partial equilibrium phenomenon, conceived in a risk neutral setting, that disappears with the introduction of sufficient risk aversion; (ii) the inability of policy makers to manage an economy with multiple firms yields a mixed equilibrium, where bonds are observed in both taxable and tax-deferred accounts; and (iii) the Pareto-efficient pension plan comprises of a defined benefit plan.