Value relevance of excess return on pension assets and pension OCI components
研究了SFAS No.158下养老金资产超额收益和养老金其他综合收益组成部分的价值相关性与持续性，发现市场高估了前两者的持续性并错误定价。
This study investigates the value relevance and persistence of the excess of expected return over interest income on pension assets (excess return on pension assets) and pension-related other comprehensive income (OCI) components under SFAS No. 158. I find that firm value is positively associated with the excess return on pension assets and prior service cost OCI adjustments, but not associated with net pension loss OCI adjustments. The Mishkin test indicates that investors overestimate the persistence of the excess return on pension assets and treat transitory prior service cost OCI adjustments as if prior service cost represents an intangible asset. Consequently, the market overprices firms with large amounts of the excess return on pension assets and prior service cost OCI adjustments. In contrast, investors appear to correctly understand the transitory feature of net pension loss OCI adjustments. Overall, the results have important implications for a broad audience including investors, firms, and standard setters.