Purpose - To find out if the beta from the capital asset pricing model (CAPM) accurately measures the systematic equity risk of a firm's pension funds. Design/methodology/approach -Takes 4,453 observations of equity beta using the market model on weekly return data for up to one year from 1993...

This paper examines the empirical question of whether systematic equity risk of U.S. firms as measured by beta from the Capital Asset Pricing Model reflects the risk of their pension plans. There are a number of reasons to suspect that it might not. Chief among them is the opaque set of...