岭南学术论坛－金融学系列Seminar－Pension risk overhang and the cost of debt
报告题目：Pension risk overhang and the cost of debt
报 告 人：张霆（美国代顿大学 副教授）
主 持 人：卢锐（中山大学岭南学院 教授）
时 间：2018年5月25日（周五）下午16:10—17:30
地 点：岭南堂汪道涵会议室
语 言：中文+英文
Abstract:
High pension risks, measured by large pension funding shortfall and high pension beta (Jin, Merton, and Bodie, 2006) are associated with large corporate bond spreads. However, the effect of funding shortfall on credit spreads is completely subsumed by pension beta risk, suggesting that pension beta, not funding shortfall, is an important determinant of the cost of debt. Furthermore, the pension beta effect on credit spreads is approximately six times larger for financially distressed sponsors than for non-distressed sponsors, an indication that debt for distressed sponsors are traded with an equity-like beta. An improvement in pension information transparency increases the sensitivity of credit spreads to pension beta risk. Finally, the bond market reacts positively to the relief of pension risk overhang, as credit spreads decrease significantly when sponsors freeze or terminate their pension plans. Overall, our results are consistent with Robert Merton’s (2006a, 2006b, 2007) contention that the biggest pension issue facing corporate America and its investor is not shortfall, but the risk mismatch between pension assets and liabilities.
资料下载：/UploadFiles/xsbg/2018/5/201805171034042499.pdf
报告人介绍： https://www.udayton.edu/directory/business/economics_and_finance/zhang_t_jeffrey.php
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中山大学岭南学术论坛分经济、金融和管理三个系列，是定期邀请国内外优秀学者前来开展学术交流的平台。每系列每个月定期举办2-3次。目前已经成功举办多期，并得到了各界的高度评价。