THE MARKET VALUATION IMPLICATIONS OF PENSION ASSET ALLOCATION AND PENSION ACCOUNTING REFORM

Michael T. Dugan ； Elizabeth H. Turner ； Clark M. Wheatley

《Advances in Quantitative Analysis of Finance and Accounting》 15期 (2017/12) Pp. 245-272

https://doi.org/10.6293/AQAFA.201712_15.0009

摘要

In this study, we examine a sample of U.S. firms with defined benefit pensions plans and investigate how investors view under-funded plans. On average, investors reward firms with fully or over-funded pension plans and view deficits derived from under-funded plans as liabilities, while encouraging firms with under-funded plans to become funded. Investors also encourage conservative pension asset allocation to mitigate firm risk, and smaller firms are perceived as more able to manage the risk associated with underfunded plans. During the financial crisis of 2008, underfunded status had a positive association with market value, and firms that were underfunded during the financial crisis were discouraged from increasing funded status. Significant differences also exist pre- and post- Statement of Financial Accounting Standards No. 158 (SFAS 158). These results are robust to various scenarios of the timing of the financial crisis and an alternative measure of funding.

關鍵字

Pension ； Under Funded ； Asset Allocation ； Market Value

參考文獻

Pension Protection Act of 2006, Pub. L. No. 109-280, §120 Stat. 780 (2006)

Amir, E.,Benartzi, S.(1998).The expected rate of return on pension funds and asset allocations as predictors of portfolio performance.The Accounting Review.73,335-352.

Amir, E.,Benartzi, S.(1999).Accounting recognition and the determinants of pension asset allocation.Journal of Accounting, Auditing and Finance.14,321-343.

Amir, E.,Guan, Y.,Oswald, D.(2010).The effect of pension accounting on corporate pension asset allocation.Review of Accounting Studies.15,345-366.

Bader, L. N.(1991).The financial executive's guide to pension plans.New York, NY:Salomon Brothers.