تعهدات بازنشستگی فاقد پشتوانه مالی و بازده سهام

This paper investigates whether the market rationally anticipates the value implications of unrecognized pension obligations, using a large sample of Japanese firms where pension obligations are substantially underfunded. If a firm's unrecognized pension obligation is not incorporated into its share price, its stock returns will be lower than those of other firms, because its deficit will affect the firm's income statement in the coming years. We find that firms with large unrecognized obligations earn lower risk-adjusted returns. This evidence suggests that the market does not efficiently incorporate information in the pension items.

If a firm sponsors a defined benefit pension plan, it must pledge retirement benefits to its employees and make financial contributions to pension funds.1 The present discounted value of all future pension obligations attributed to the employees' service to date, which is to be paid to them upon retirement, is simply a gross liability for the sponsoring firm. The difference between the present value of an obligation and the market value of the dedicated assets (the accumulation of contributions) is nothing less than a net liability for the sponsoring company, which is then to be recognized as an expense on the firm's income statement in the coming years. A pension plan deficit emerges whenever the present value of pension obligations exceeds the market value of the dedicated assets. This is often brought about by a decline in the market value of pension assets or a decrease in the rate at which future obligations are discounted, resulting in an increase in the obligations. Deficits are also caused by an increase in retirement benefits due to an amendment to the plan. According to the accounting standard for retirement benefits for employees in Japan, as well as FAS 87 under U.S. GAAP, a firm with a net pension liability can defer the recognition of the deficit on its income statement to smooth the expense associated with the pension plan. In other words, if a firm has a net pension liability, it recognizes the deficit on its income statement in a manner by which the cost of the deficit is allocated to the years after its first emergence, whereas the amount of the unrecognized deficit is inconspicuously noted in the footnotes as unrecognized pension obligations.2 Furthermore, it should be noted that the recognition of the deficit per year is subject to the broad discretion of the management. Therefore, after the first emergence of the deficit, only a small portion of it appears on the income statement and the balance sheet.3 Whether investors take into account the implication of unrecognized pension obligations when valuing a firm's share price is a matter of interest from the viewpoint of efficient allocation of resources via the capital market. If the market fails to fully incorporate the effect of pension deficits, the share prices of firms with unrecognized deficits would be overvalued, and hence, sponsoring firms might exploit these mispricings to raise funds at a lower cost of capital. Although Feldstein and Seligman (1981), Feldstein and Mørck (1983), and Bulow et al. (1987) find evidence that the market does not neglect pension-related items, there might still exist mispricings that significantly violate market efficiency. Indeed, it is not easy for most investors to fully understand the implication of intricate pension-related information appearing in the footnotes when valuing a share price. Therefore, the market might fail to price the implications of current pension deficits. Consistent with this view, Franzoni and Marín (2006a) show concrete evidence that firms with large deficits in their defined benefit pension plans are overvalued by investors and earn lower returns when the negative implications of pension plan underfunding actually appears on their income or cash flow statement. Furthermore, in his analysis to find new evidence for financing constraints after controlling the effect of investment opportunities on internal cash flows, Franzoni (2009) shows that mandatory contributions to defined benefit pension plans are associated with negative stock returns. Importantly, these negative price reactions are magnified by the degree of financing constraints, which supports the findings of Rauh (2006) that mandatory contributions exacerbate underinvestment.4 Using a large sample of Japanese firms, we extend the approach employed by Franzoni and Marín (2006a) to detect additional evidence for significant overvaluation of companies with net pension deficits. Analyzing Japanese companies presents a unique opportunity to investigate the market efficiency from the viewpoint of pension-related disclosure for several reasons. First, since foreign investors actively participate in the Japanese stock market, results based on this market present useful implications from the viewpoint of global investors rather than the investors of a particular country. In fact, almost half of the trading activities at the Tokyo Stock Exchange are by foreign investors.5 Second, since the adoption of the current standard in fiscal year 2000 (ending March 31, 2001), Japanese firms have had substantial financial difficulty induced by pension plans, as shown in Fig. 1. The most striking point in Fig. 1 is that, on average, unrecognized pension obligations amounted to about 23% of the book value of equity at the end of fiscal year 2002, reflecting a bear stock market and lower discount rates to obtain the present value of future pension obligations. Therefore, the market may substantially misprice firms with a net pension liability when determining share prices if it does not detect the implications of the unrecognized deficit. Third, although the procedures defined in accounting standards in Japan are basically quite similar to those required by FAS 87, the impact of the fluctuations of dedicated assets and the present value of pension obligations on income statements is more severe for Japanese firms, as we will detail in Section 2. This is mainly because the pension accounting standard in the Japanese GAAP does not permit sponsoring firms to withhold the recognition of deficits in a manner similar to the corridor rule, wherein only unrecognized actuarial gains and losses above a certain limit are to be recognized as expenses. Fourth, Japanese investors would value the share prices of firms with unrecognized pension deficits incorrectly even if they paid attention to the changes in the book value of equity, because Japanese firms are not required to book minimum liability on their balance sheets.6 For these reasons, analyzing Japanese firms presents a unique opportunity to investigate whether off-balanced pension liabilities are a significant source of mispricings. In extending the analysis of Franzoni and Marín (2006a), we subdivide unfunded pension liabilities into two parts—those already recognized on the income statement and those still unrecognized—to investigate the implication of off-balanced pension obligations for the efficiency of the capital market. This also enables us to detect whether the market efficiency is violated by the management discretion of sponsoring firms over the disclosure of pension-related items. If the market does not price underfunded pension liabilities correctly, sponsoring firms with unfunded pension obligations might defer the recognition of unfunded pension deficits in order to raise funds at lower levels of cost of capital. This would result in an inefficient allocation of resources. We further subdivide the off-balanced pension liabilities into three types of deficits according to the manner of their occurrence in order to investigate how often these misprisions emerge.

We have shown significant evidence of the market's failure to fully incorporate the information in the pension items, most of which are disclosed in the footnote. The empirical evidence seems to corroborate the view that the complexity of pension-related information prevents investors from rationally taking into account the implication of underfunding. This phenomenon is robust to the specification of factor models as well as to the definition of funding status. If this is the case, it might be subject to inefficient corporate financing activities that violate the efficient allocation of resources via the market. Whether firms utilize the mispricings to raise funds is an important topic for future research.20