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The influence of pension plan risk on equity risk and credit ratings: a study of FTSE100 companies

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McKillop, Donal and Pogue, Michael (2009) The influence of pension plan risk on equity risk and credit ratings: a study of FTSE100 companies. Journal of Pension Economics and Finance, 8 (4). pp. 405-428. [Journal article]

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DOI: 10.1017/S1474747208003879

Abstract

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.

Item Type:Journal article
Faculties and Schools:Ulster Business School
Ulster Business School > Department of Management and Leadership
Research Institutes and Groups:Business and Management Research Institute
ID Code:11527
Deposited By:Professor Paul Humphreys
Deposited On:09 Feb 2010 08:41
Last Modified:04 Oct 2012 16:13

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