经济与金融系学术讨论会第35期 

时间：2018年10月18日（周四）12:00-13:00 

地点：同济大厦A楼402室 

题目：S&P Issuer Credit Rating and Understated Pension Liabilities 

主讲人：柴俊（香港城市大学商学院经济与金融系副教授） 

摘要： 

The Employee Retirement Income Security Act (ERISA) requires that the interest rate used to calculate the present value of firms' pension plan liabilities be based on 30-year Treasury bonds. The Financial Accounting Standard Board statement SFAS 87 suggests employers may also look to rates of return on high-quality fixed-income investments for financial reporting purposes. Firms have considerable latitude in choosing their pension discount rates. They often choose discount rates that are above the benchmark interest rates resulting in lower reported pension liabilities. We assess the magnitude of understated pension liabilities and relate them to S&P issuer credit ratings. We find understated pension liabilities have significant incremental explanatory power after taking into account standard control variables and other pension information such as funded status and mandatory contributions. 

主讲人简介：

柴俊(CAI Jun)，香港城市大学商学院经济与金融系副教授，美国西北大学凯洛格商学院金融学博士。研究兴趣包括资产定价、时间序列以及日本金融市场等。已在Review of Financial Studies, Journal of Business and Economic Statistics, Journal of Financial Markets, Journal of Banking and Finance, Journal of Futures Markets, Journal of Empirical Finance等主流金融期刊上发表数十篇文章。