Underfunding or distress? An analysis of corporate pension underfunding and the cross-section of expected stock returns

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• 作者：Qizhi Tao^c ; Carl Chen^a ; Rui Lu^b ; ^{lurui@mail.sysu.edu.cn} ; Ting Zhang^a ; ^{tzhang1@udayton.edu}
• 关键词：G12 ; G14 ; G33
• 刊名：International Review of Economics & Finance
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：48
• 期：Complete
• 页码：116-133
• 全文大小：423 K
• 卷排序：48

文摘

The pension underfunding anomaly (Franzoni & Marín, 2006) is mainly concentrated in financially distressed sponsors. The predictability of pension underfunding levels on the cross-sectional stock returns disappears after considering sponsor financial distress. It exists when underfunding is primarily due to poor operating performance and during the initial five years of underfunding; it diminishes when underfunding is due to bad pension investment returns and when firms underfund for more than five years. The potential financial distress inherent in the most underfunded firms and the prospect of intervention by the Pension Benefit Guaranty Corporation make the arbitrage opportunity not entirely risk free.