The Empirical Study of the Relationship between Pension Information and Stock Prices

• Main Authors: Tsou, Yi-ping, 鄒怡萍
• Other Authors: Tsai,Yann-ching
• Format: Others
• Language: zh-TW
• Published: 1996
• Online Access: http://ndltd.ncl.edu.tw/handle/15084636332342365022

碩士 === 東吳大學 === 會計學系 === 85 === The companies listed on the Taiwan Stock Exchange are required, by the Statement of Accounting Standard No. 18, to disclose pension information for fiscal year 1995. Aiming at this controversial statement, the purpose of this study is to examine the stock market effects of pension information. I adopt two empirical methods in this study. They are (1) event study: testing the relationship between CAR (cumulative abnormal return) and pension information disclosed with two event dates which are the announcement date of financial statement and April 30, 1996, and (2) regression analysis: testing if the amount of pension funding status being one of the determinant factors of stock prices. The results of this study are summarized as follows: 1. The CAR of companies which pension funding status are overfunded are significantly greater than the companies which pension funding status are underfunded. The empirical results are the same after excluding the electric companies from the samples. This sensitivity check is due to the fact that over 30% of the samples of overfunded companies belong to electric industry. 2. I use ex-post industry average as the proxy for the expected funding status for all the sample firms and repeat the test again. But the empirical results are inconclusive. 3. The CAR of companies with better pension funding status (for example, plan assets greater than projected benefit obligation) are significantly greater than the companies with worse funding status (for example, plan assets smaller than vested benefit obligation). Such empirical results mean that the investors can distinguish the difference among the pension funding status from three amounts of pension liabilities, PBO (projected benefit obligation), ABO (accumulated benefit obligation) and VBO (vested benefit obligation). 4. According to the regression analysis, the magnitudes of pension funding status are negatively correlated with stock prices. When ABO and VBO are used as the proxies of pension liabilities, the coefficients are significant. But when PBO is used, it is not significant.