统计与管理学院2018年学术报告第33期

【主 题】 A Conditional Valuation of Corporate Pension Plans

【报告人】 柴俊  副教授

香港城市大学

【时 间】 2018年07月10日（星期二）15:00-16:00

【地 点】 上海财经大学统计与管理学院大楼1208会议室

【摘 要】We return to the long-standing question of “Who owns the assets in a defined benefit pension plan?” Unlike earlier studies, we condition the market’s assessment of implicit property rights on the financial health of the sponsoring firm. Valuations of firms that have become financially stronger are more responsive to funding status of its pension plans. For these firms, an extra dollar of plan assets, projected benefit obligations, accumulated benefit obligations, funding status, and off-balance sheet pension items are valued at between $0.50 and $1.00. In contrast, for firms that have become financially weaker, the corresponding valuation effects are statistically indistinguishable from zero. This result is consistent with the greater vulnerability of these firms to future financial distress and the higher likelihood that they will renege on their pension obligations.

【嘉宾简介】Dr. Cai Jun received his MA from Ohio State University and PhD in finance from Northwestern University.  Dr. Cai’ research interest is in investment, market microstructure, and time-series analysis.  Dr. Cai has published in Review of Financial Studies, Journal of Financial Markets, Journal of Financial Intermediation, Journal of Empirical Finance, Journal of Banking and Finance, Journal of Business and Economic Statistics, Journal of Futures Market.