Date of Award


Degree Type


Degree Name

Doctor of Philosophy in Business Administration




Business Administration

First Advisor

Shingo Goto


This study sought to extend the methods used by Mohan & Zhang (2014) to the period after the adoption of GASB 67 & 68 to see if those pronouncements had an effect on pension investment risk at different funded ratio levels. The main measure used by Mohan & Zhang (2014) was the comparison of two measure of risk, equity allocation and a calculated pension asset beta, with the funded ratio of plans contained in the Public Plans Database at Boston College. The method of comparison was the same as was used by Mohan & Zhang (2014), fixed effects regression with clustering of standard errors at the plan level. The study was conducted in two phases: a replication phase from 2001 to 2011 seeking to verify the methods used by Mohan & Zhang (2014) and to confirm their conclusions, and a test phase conducted in two parts from 2012 to 2021 and 2014 to 2021. The results were then compared with investment information included in the data to verify trends in investing among the six major asset classes in each year and within three categories of plans arranged by funded ratios. In the replication phase the results were mixed. The conclusion for the beta test was confirmed and statistically significant finding and negative correlation between risk and pension funding, meaning plans with lower funding are taking more risk. The test for equity allocation findings were the opposite as found in the previous study, finding that there was a positive correlation undermining the idea that risk transfer was occurring.

In the test phase, it was found that the results were the opposite of what was found during the replication phase, with equity allocations decreasing and beta increasing as funding ratios improved. The trend data confirmed that pension funding ratios may not be the best measure as the trends were consistent across all funding groups studied.



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