The Perils of Pensions: Does Pension Accounting Lead Investors and Analysts Astray?
研究投资者和分析师能否充分处理公开的养老金信息，发现他们未能及时将养老金变化对未来盈利的影响纳入定价和预测，而是逐步调整，且表外养老金信息能预测未来回报。
This paper explores the ability of investors and analysts to fully process available pension information when establishing prices and making earnings forecasts. I find that neither prices nor forecasts fully reflect the quantifiable future earnings effects of changes in pension information at the time it becomes publicly available in the firm's 10-K. Instead, the evidence suggests that investors and analysts only gradually incorporate this information into prices and forecasts as they observe the effects of the pension plan changes on subsequent quarterly earnings. The persistent tardiness of analysts to incorporate this relevant and economically significant information about earnings is surprising given that they are provided with pension information on a repeated and timely basis. Additionally, I find that the off-balance-sheet portion of the pension plan's funded status and the PBO are predictive of future returns while the on-balance-sheet portion of the funded status is not. This implies that investors do not accurately assess the long-run cash flow and earnings implications of these off-balance-sheet pension disclosures. The compensation rate is also predictive of future returns suggesting that it signals management's expectation of future performance.