Pension expenses, risk, and implications for stock returns

Roi D. Taussig

Finance Research Letters, 2024, vol. 61, issue C

Abstract: As life expectancy rises, firms' pension expenses for employees rise as well. This study shows that from around the beginning of the current millennium, US firms' annual mean expenditure on their employee pensions has increased substantially. This expense has become a burden on firms and presents a risk for their activity, which is not diversifiable. An increase in the newly suggested measure causes an increase in the average cross-sectional stock returns. This effect is both statistically and economically significant. Moreover, the effect is sustainable for a variety of robustness tests, both in-sample and out-of-sample.

Keywords: Stock return; Pension; Asset pricing; Cross-section returns (search for similar items in EconPapers)
JEL-codes: G11 G12 G13 G14 G17 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000461

DOI: 10.1016/j.frl.2024.105016

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