Working Papers,
Copenhagen Business School, Department of Economics

Abstract: More and more countries around the world switch from defined-benefit, pay-as-yougo pension systems to funded, defined-contribution systems. This implies substantial wealth accumulation, yet simultaneously exposes individuals to investment risk. While it seems natural to expect that individuals’ investment decisions in pension and non-pension accounts are related, there is little empirical evidence. We compile a new microdataset on Danish savers and document how pension and non-pension investment decisions are linked. We find substantial positive spillover effects between risk-taking in pension and non-pension investments. High-return pension savers also earn the highest return on their non-pension savings, driven by active risk choices. Pension and non-pension investment choices are often made at the same time. An important reason for this are joint responses to individual and aggregate events. Additionally, there are direct spillover effects from changes in stock market policies to pension savings behavior, and vice versa.

Keywords: Stock market participation; Pension savings; Portfolio choice; Return heterogeneity; Financial literacy

JEL-codes: D14; E21; G11; G41; G51; J26

Language: English

75 pages, December 8, 2025

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