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A Conditional Valuation of Corporate Pension Plans

Abstract.We implement a conditional valuation study to answer the long standing question of “Who owns the assets in a defined benefit pension plan?” (Bulow and Scholes, 1983). In contrast to earlier studies that examine the property rights of pension plans, we show that the answer depends on the evolution of the financial health of the individual firms. Shareholders in firms that become financially stronger acknowledge the assets and liabilities of pension plans; shareholders in firms that become financially weaker care much less for the extra dollar of pension assets or liabilities. This result is mainly driven by the significantly weaker mean-reversion properties of firms that become financially weaker. For firms that become financially stronger, an extra dollar of plan assets, projected benefit obligations, accumulated benefit obligations, funded status, and off balance sheet items are valued at $0.68, $0.38, $0.93, $0.57, and $0.55, respectively, in absolute dollar terms. For firms that become financially weaker, the valuation effects are indistinguishable from zero.