TY - JOUR
T1 - The influence of pension plan risk on equity risk and credit ratings: a study of FTSE100 companies
AU - McKillop, Donal
AU - Pogue, Michael
PY - 2009
Y1 - 2009
N2 - This paper examines the relationship between funding risk of defined benefit pension plans and both corporate debt ratings and equity risk measures for FTSE100 companies. Panel based models highlighted a direct relationship between pension plan risk and equity risk. Pension risk was also demonstrated to be factored into credit ratings with the analysis highlighting that the greater the pension risk, the greater the probability of obtaining a lower debt rating. From a rating agency viewpoint, this is positive news, particularly at present when agencies are being criticized for a perceived failure to reflect sub-prime mortgage problems in firm-specific ratings.
AB - This paper examines the relationship between funding risk of defined benefit pension plans and both corporate debt ratings and equity risk measures for FTSE100 companies. Panel based models highlighted a direct relationship between pension plan risk and equity risk. Pension risk was also demonstrated to be factored into credit ratings with the analysis highlighting that the greater the pension risk, the greater the probability of obtaining a lower debt rating. From a rating agency viewpoint, this is positive news, particularly at present when agencies are being criticized for a perceived failure to reflect sub-prime mortgage problems in firm-specific ratings.
UR - https://www.scopus.com/pages/publications/70450177171
U2 - 10.1017/S1474747208003879
DO - 10.1017/S1474747208003879
M3 - Article
SN - 1475-3022
VL - 8
SP - 405
EP - 428
JO - Journal of Pension Economics and Finance
JF - Journal of Pension Economics and Finance
IS - 4
ER -