G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w10650
来源IDWorking Paper 10650
Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?
Li Jin; Robert Merton; Zvi Bobie
发表日期2004-07-26
出版年2004
语种英语
摘要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 accounting rules used to report pension assets, liabilities, and expenses. Pension plan assets and liabilities are off-balance sheet, and are often viewed as segregated from the rest of the firm, with its own trustees. Pension accounting rules are complicated. Furthermore, the role of Pension Benefit Guaranty Corporation further clouds the real relation between pension plan risk and firm equity risk. The empirical findings in this paper are consistent with the hypothesis that equity risk does reflect the risk of the firm's pension plan despite arcane accounting rules for pensions. This finding is consistent with informational efficiency of the capital markets. It also has implications for corporate finance practice in the determination of the cost of capital for capital budgeting. Standard procedure uses de-leveraged equity return betas to infer the cost of capital for operating assets. But the de-leveraged betas are not adjusted for the risk of the pension assets and liabilities. Failure to make this adjustment will typically bias upwards estimates of the discount rate for capital budgeting. The magnitude of the bias is shown here to be large for a number of well-known U.S. companies. This bias can result in positive net-present-value projects being rejected.
主题Financial Economics ; Financial Markets ; Financial Institutions
URLhttps://www.nber.org/papers/w10650
来源智库National Bureau of Economic Research (United States)
引用统计
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/568279
推荐引用方式
GB/T 7714
Li Jin,Robert Merton,Zvi Bobie. Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?. 2004.
条目包含的文件
文件名称/大小 资源类型 版本类型 开放类型 使用许可
w10650.pdf(292KB)智库出版物 限制开放CC BY-NC-SA浏览
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Li Jin]的文章
[Robert Merton]的文章
[Zvi Bobie]的文章
百度学术
百度学术中相似的文章
[Li Jin]的文章
[Robert Merton]的文章
[Zvi Bobie]的文章
必应学术
必应学术中相似的文章
[Li Jin]的文章
[Robert Merton]的文章
[Zvi Bobie]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w10650.pdf
格式: Adobe PDF
此文件暂不支持浏览

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。