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Assuming from the above example, a firm’s operating asset beta is (21/(21+9))*1 = 0.7
before including pension assets.
Then, after including pension assets, the operation asset beta is 21/(21+9+15)*1 = 0.4667.
What happens to the firm’s asset beta if more of the pension assets are invested in equity rather than bonds? Say the 60% allocation to equity were raised to 80% for example? |
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发表于 2013-4-10 22:53
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