Pension Plan Funding and Stock Market Efficiency
发现市场显著高估了养老金计划严重资金不足的公司，这些公司随后至少5年股票收益较低，且低收益无法用风险、动量或应计项目解释，投资者未预期到养老金负债对未来盈利的影响。
ABSTRACT The paper argues that the market significantly overvalues firms with severely underfunded pension plans. These companies earn lower stock returns than firms with healthier pension plans for at least 5 years after the first emergence of the underfunding. The low returns are not explained by risk, price momentum, earnings momentum, or accruals. Further, the evidence suggests that investors do not anticipate the impact of the pension liability on future earnings, and they are surprised when the negative implications of underfunding ultimately materialize. Finally, underfunded firms have poor operating performance, and they earn low returns, although they are value companies.