Market Sensitivity to Interest Rate Assumptions in Corporate Pension Plans

Abstract

Statement Number 36 that mandated publication, in a footnote to the annual report, information on pension plan assets and liabilities including the interest rate assumed in arriving at the cost estimates. An event-time study of the effect of interest rate disclosure demonstrates that securities of firms using a low interest rate assumption outperformed the securities of firms using a high interest rate assumption during the period surrounding the release of FASB No. 36.Digitized by the Internet Archive in 2011 with funding from University of Illinois Urbana-Champaign