A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2018; you can also visit the original URL.
The file type is application/pdf
.
Unfunded pension liabilities and sponsoring firm credit risk: an international analysis of corporate bond spreads
2010
European Journal of Finance
This paper tests empirically whether pension information derived by corporate pension accounting disclosures is priced in corporate bond spreads. The model represents a hybrid of more traditional accounting ratio-based models of credit risk and structural models of bond spreads initiated by Merton (1974). The model is fitted to 5 years of data from 2002 to 2006 featuring companies from the US and Europe. The paper finds that while unfunded pension liabilities are priced in the overall sample,
doi:10.1080/13518470903211665
fatcat:lzt6r74qbnfpjodqg7olttlvle