Risk Shifting versus Risk Management: Investment Policy in Corporate Pension Plans

I thank James Wang and Michael Wong for excellent research assistance. I am grateful to John Birge, John Campbell, Murillo Campello, Chris Crevier, Mike Faulkender, Sean Finucane, Charles Hadlock, Dirk Jenter, Steve Kaplan, Vicky Kiosse, Gordon Latter, Deborah Lucas, Francisco Perez-Gonzalez, Mitchell Petersen, James Poterba, Michael Roberts, Antoinette Schoar, Berk Sensoy, Morten Sørensen, Per Strömberg, Amir Sufi, Michael Weisbach, Steve Zeldes, an anonymous referee, and seminar participants at MIT Sloan, the 2006 Corporate Finance Conference at the Washington University Olin School of Business, the 2006 NBER Corporate Finance Summer Institute, and the 2006 UBS Pensions Research Programme Conference at the London School of Economics for helpful comments and discussions. I thank seminar participants at the Chicago GSB finance faculty lunch, the European Central Bank, the University of Illinois, and Michigan State University for comments on an earlier version of this work entitled "Who Manages Pension Fund Risk?" The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.