Plan Asset Allocation |
PAA |
Allocation percentages for each segment (fixed income, variable income, etc.) |
Indicates the distribution of pension plan asset investments. |
Rauh (2009Rauh, J. (2009). Risk shifting versus risk management: Investment policy in corporate pension plans. Review of Financial Studies, 22(7), 2487-2533. https://doi.org/10.1093/rfs/hhn068 https://doi.org/10.1093/rfs/hhn068...
); Guan & Lui (2016Guan, Y., & Lui, D. (2016). The effect of regulations on pension risk shifting: evidence from the U.S. and Europe. Journal of Business Finance & Accounting, 43(5), 765-799. https://doi.org/10.1111/jbfa.12199 https://doi.org/10.1111/jbfa.12199...
) |
Plan Funding Level |
PFL |
(Market Value Of Pension Assets − Projected Benefits) / Projected Benefits |
If positive, it indicates that plan resources are sufficient to cover actuarial obligations. If negative, it indicates underfunding. |
Rauh (2009Rauh, J. (2009). Risk shifting versus risk management: Investment policy in corporate pension plans. Review of Financial Studies, 22(7), 2487-2533. https://doi.org/10.1093/rfs/hhn068 https://doi.org/10.1093/rfs/hhn068...
); An et al. (2013An, H., Huang, Z., & Zhang, T. (2013). What determines corporate pension fund risk-taking strategy? Journal of Banking & Finance, 37(2), 597-613. https://doi.org/10.1016/j.jbankfin.2012.09.018 https://doi.org/10.1016/j.jbankfin.2012....
); Anantharaman & Lee (2014Anantharaman, D., & Lee, Y. (2014). Managerial risk-taking incentives and corporate pension policy. Journal of Financial Economics, 111(2), 328-351. https://doi.org/10.1016/j.jfineco.2013.10.009 https://doi.org/10.1016/j.jfineco.2013.1...
); Bartram (2018Bartram, S. (2018). In good times and in bad: Defined-benefit pensions and corporate financial policy. Journal of Corporate Finance, 48, 331-351. https://doi.org/10.1016/j.jcorpfin.2017.10.015 https://doi.org/10.1016/j.jcorpfin.2017....
) |
Probability of Sponsor Bankruptcy |
PSB |
Probit model used by Martins and Ventura Júnior (2020Martins, O. S., & Ventura Júnior, R. (2020). Influência da governança corporativa na mitigação de relatórios financeiros fraudulentos. Revista Brasileira de Gestão de Negócios, 22, 65-84. https://doi.org/10.7819/rbgn.v22i1.4039 https://doi.org/10.7819/rbgn.v22i1.4039...
)* |
A result above 0.80 indicates that the sponsor is solvent. |
Altman et al. (1979Altman, E. I., Baydia, T. K. N., & Dias, L. M. R. (1979). Previsão de problemas financeiros em empresas. Revista de Administração de Empresas, 19(1), 17-28. https://doi.org/10.1590/S0034-75901979000100002 https://doi.org/10.1590/S0034-7590197900...
); Martins & Ventura Júnior (2020Martins, O. S., & Ventura Júnior, R. (2020). Influência da governança corporativa na mitigação de relatórios financeiros fraudulentos. Revista Brasileira de Gestão de Negócios, 22, 65-84. https://doi.org/10.7819/rbgn.v22i1.4039 https://doi.org/10.7819/rbgn.v22i1.4039...
) |
Past Return on Assets |
PRA |
Average rate of return achieved by the plan in the previous year |
Indicates the return on the plan's investment in financial assets in the previous year. |
Anantharaman & Lee (2014Anantharaman, D., & Lee, Y. (2014). Managerial risk-taking incentives and corporate pension policy. Journal of Financial Economics, 111(2), 328-351. https://doi.org/10.1016/j.jfineco.2013.10.009 https://doi.org/10.1016/j.jfineco.2013.1...
); Bartram (2018Bartram, S. (2018). In good times and in bad: Defined-benefit pensions and corporate financial policy. Journal of Corporate Finance, 48, 331-351. https://doi.org/10.1016/j.jcorpfin.2017.10.015 https://doi.org/10.1016/j.jcorpfin.2017....
) |
Plan Actuarial Solvency |
PAS |
Plan Net Assets / Pension Liabilities |
If the result is greater than 1, it indicates that the plan is actuarially solvent. |
Rodrigues (2008Rodrigues, J. A. (2008). Gestão de risco atuarial. Saraiva.); Lima & Rodrigues (2015Lima, J. C. C. O., & Rodrigues, J. A. (2015). A importância das premissas econômicas na gestão de planos de benefícios definidos. Revista do BNDES, 43, 161-204. https://web.bndes.gov.br/bib/jspui/bitstream/1408/6241/2/RB%2043%20A%20import%c3%a2ncia%20das%20premissas%20econ%c3%b4micas%20_P.pdf https://web.bndes.gov.br/bib/jspui/bitst...
); Guan & Lui (2016Guan, Y., & Lui, D. (2016). The effect of regulations on pension risk shifting: evidence from the U.S. and Europe. Journal of Business Finance & Accounting, 43(5), 765-799. https://doi.org/10.1111/jbfa.12199 https://doi.org/10.1111/jbfa.12199...
) |
Plan Financial Maturity |
PFM |
(Financial Investment Income + Contributions Income) / Benefit Expenses |
If the result is less than 0, it indicates that the plan is financially mature. |
Rodrigues (2008Rodrigues, J. A. (2008). Gestão de risco atuarial. Saraiva.); Lima & Rodrigues (2014) |
Sponsor's Operating Cash Flow |
OCF |
(Operating Cash Flow − Pension Contributions) / Total Assets |
Indicates the sponsor's share of return on investments. |
Anantharaman & Lee (2014Anantharaman, D., & Lee, Y. (2014). Managerial risk-taking incentives and corporate pension policy. Journal of Financial Economics, 111(2), 328-351. https://doi.org/10.1016/j.jfineco.2013.10.009 https://doi.org/10.1016/j.jfineco.2013.1...
); Guan & Lui (2016Guan, Y., & Lui, D. (2016). The effect of regulations on pension risk shifting: evidence from the U.S. and Europe. Journal of Business Finance & Accounting, 43(5), 765-799. https://doi.org/10.1111/jbfa.12199 https://doi.org/10.1111/jbfa.12199...
); Bartram (2018Bartram, S. (2018). In good times and in bad: Defined-benefit pensions and corporate financial policy. Journal of Corporate Finance, 48, 331-351. https://doi.org/10.1016/j.jcorpfin.2017.10.015 https://doi.org/10.1016/j.jcorpfin.2017....
) |
Operating Cash Flow Volatility |
CFV |
This is the standard deviation of the operating cash flow for the four years prior to the acquisition or merger of the company. |
Indicates the overall risk of the company's cash flow. |
Anantharaman & Lee (2014Anantharaman, D., & Lee, Y. (2014). Managerial risk-taking incentives and corporate pension policy. Journal of Financial Economics, 111(2), 328-351. https://doi.org/10.1016/j.jfineco.2013.10.009 https://doi.org/10.1016/j.jfineco.2013.1...
); Guan & Lui (2016Guan, Y., & Lui, D. (2016). The effect of regulations on pension risk shifting: evidence from the U.S. and Europe. Journal of Business Finance & Accounting, 43(5), 765-799. https://doi.org/10.1111/jbfa.12199 https://doi.org/10.1111/jbfa.12199...
) |
Sponsor's Financial Leverage |
SFL |
Long-Term Debt / Total Assets |
A high ratio indicates that most asset purchases are financed with debt. |
Guan & Lui (2016Guan, Y., & Lui, D. (2016). The effect of regulations on pension risk shifting: evidence from the U.S. and Europe. Journal of Business Finance & Accounting, 43(5), 765-799. https://doi.org/10.1111/jbfa.12199 https://doi.org/10.1111/jbfa.12199...
) |
Sponsor Company Size |
SCS |
Natural logarithm of sponsor's total assets |
Measures the company's total assets. |
Guan & Lui (2016Guan, Y., & Lui, D. (2016). The effect of regulations on pension risk shifting: evidence from the U.S. and Europe. Journal of Business Finance & Accounting, 43(5), 765-799. https://doi.org/10.1111/jbfa.12199 https://doi.org/10.1111/jbfa.12199...
) |
Interest Rate Effect |
IRE |
1 if there was an increase in the Selic rate in the current year compared to the previous year and 0 if there was no increase in the Selic rate in the current year compared to the previous year |
Indicates whether there was an increase in the Selic rate compared to the previous year. |
Pereira (2013Pereira, M. M. (2013). Impacto na redução das taxas de juros da economia para os fundos de pensão [Master's Dissertation, Universidade de Brasília). Repositório Institucional da UnB. http://repositorio2.unb.br/jspui/bitstream/10482/15542/1/2013_Maur%c3%adcioMarcelliniPereira.pdf http://repositorio2.unb.br/jspui/bitstre...
); Domeneghetti (2020Domeneghetti, V. (2020). Gestão de risco dos fundos de pensão: análise da alocação dos fundos de pensão fechados de 2010 a 2017 [Doctoral thesis, Universidade de São Paulo]. Biblioteca Digital de Teses e Dissertações da USP. https://doi.org/10.11606/T.96.2020.tde-10112020-105535 https://doi.org/10.11606/T.96.2020.tde-1...
) |
Plan's Actuarial Target |
PAT |
Interest rate adopted in the actuarial valuation + inflation index |
Shows the minimum return required on financial investments to cover actuarial liabilities. |
Rodrigues (2008Rodrigues, J. A. (2008). Gestão de risco atuarial. Saraiva.); Domeneghetti (2020Domeneghetti, V. (2020). Gestão de risco dos fundos de pensão: análise da alocação dos fundos de pensão fechados de 2010 a 2017 [Doctoral thesis, Universidade de São Paulo]. Biblioteca Digital de Teses e Dissertações da USP. https://doi.org/10.11606/T.96.2020.tde-10112020-105535 https://doi.org/10.11606/T.96.2020.tde-1...
) |
Regulatory Changes for Plan Assets |
RCA |
1 if there was a change in the rules governing financial investments and 0 if there was no change in the rules governing financial investments |
Indicates whether or not there was a change in the legislation for the application of funds during the period. |
Pereira (2013Pereira, M. M. (2013). Impacto na redução das taxas de juros da economia para os fundos de pensão [Master's Dissertation, Universidade de Brasília). Repositório Institucional da UnB. http://repositorio2.unb.br/jspui/bitstream/10482/15542/1/2013_Maur%c3%adcioMarcelliniPereira.pdf http://repositorio2.unb.br/jspui/bitstre...
); Reis (2018Reis, J. A. (2018). Avaliação de retorno e risco em alocação de recursos de fundos de pensão [Master's thesis, Centro Federal de Educação Tecnológica de Minas Gerais]. Sistema Integrado de Gestão de Atividades Acadêmicas. https://sig-arquivos.cefetmg.br/arquivos/201803622762632185074039efc6266a9/Dissertao_Jsus_Final.pdf https://sig-arquivos.cefetmg.br/arquivos...
) |
Publicly Traded Company |
PTC |
1 if it is a publicly traded company and 0 if it is not a publicly traded company |
Indicates whether the company has shareholders or not. |
An et al. (2013An, H., Huang, Z., & Zhang, T. (2013). What determines corporate pension fund risk-taking strategy? Journal of Banking & Finance, 37(2), 597-613. https://doi.org/10.1016/j.jbankfin.2012.09.018 https://doi.org/10.1016/j.jbankfin.2012....
); Anantharaman & Lee (2014Anantharaman, D., & Lee, Y. (2014). Managerial risk-taking incentives and corporate pension policy. Journal of Financial Economics, 111(2), 328-351. https://doi.org/10.1016/j.jfineco.2013.10.009 https://doi.org/10.1016/j.jfineco.2013.1...
) |
Sponsor Overdue Contributions |
SOC |
Overdue Contributions / Projected Benefits |
Identifies the impact of not passing on contributions in relation to total future obligations. |
Rauh (2009Rauh, J. (2009). Risk shifting versus risk management: Investment policy in corporate pension plans. Review of Financial Studies, 22(7), 2487-2533. https://doi.org/10.1093/rfs/hhn068 https://doi.org/10.1093/rfs/hhn068...
); Kitamura & Omori (2019Kitamura, T., & Omori, K. (2019). Optimal risk-taking in corporate defined benefit plans under risk-shifting. Managerial Finance, 45(1), 1076-1091. doi: 10.1108/MF-01-2019-001.) |