The Expected Rate of Return on Pension Funds and Asset Allocation as Predictors of Portfolio Performance.

Eli Amir; Shlomo Benartzi

doi:10.2308/tar-902585

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The Expected Rate of Return on Pension Funds and Asset Allocation as Predictors of Portfolio Performance.

Eli Amir¹; Shlomo Benartzi²

¹ Columbia University. 1 · ² University of California, Los Angeles. 2

The Accounting Review 1998

We examine the correlation between the expected rate of return on pension assets (ERR), as reported in the financial statements, and the com- position of the pension portfolio, measured as the percent invested in equities (% Equity). Our evidence indicates that ERR and %Equity are related, but the relation is rather weak. We also examine whether ERR and %Equity are correlated with future returns on pension assets. Only %Equity is correlated with future pension returns. Our results suggest that the FASB should consider the enforcement rather than elimination of current disclosure requirements regarding pension asset composition.

DOI: 10.2308/tar-902585
Volume: 73 (3)
Pages: 335-352
Language: en
Export: BibTeX
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