본 연구는 한국거래소 유가증권시장에서 DB형 퇴직연금을 운용하는 상장기업을 대상 으로 2013년부터 2022년의 표본기간동안 적립자산의 부족위험이 해당 기업의 주식수 익률에 미치는 영향을 분석했다. 본 연구에서 확인된 주요 결과는 다음과 같다. 첫째, 표본기간 동안 적립비율(=연금자산/연금부채)은 법에서 규정한 최소적립비율의 상향 조정에 따라 개선되는 효과를 보였다. 둘째, 최소적립비율의 충족 여부에 따라 구성한 포트폴리오에 대해 요인모형으로 추정한 알파(위험조정초과수익률)는 적립비율이 높 은 기업에서 유의한 음(-)의 부호로 추정된 반면, 최소적립비율을 충족하지 못한 기업 들은 통계적 유의성을 발견할 수 없었다. 이같은 결과는 최소적립비율을 충족하는 기업들의 주가가 시장에서 고평가된 상태임을 의미한다. 나아가 이같은 현상은 최소적 립비율은 충족하나 완전적립에는 미달한 기업들에서 지배적으로 나타남이 확인되었 다. 셋째, 요인모형 추정결과의 강건성 확인을 위한 패널회귀분석에서도 최소적립비 율 미달기업에서는 적립비율이 낮을수록(적립부족위험이 클수록) 미래 주식수익률이 높아지나, 최소적립비율을 달성한 기업에서는 적립비율이 수익률 변동과 무관한 결과 를 보였다. 그러나 최소적립비율을 충족하더라도 완전적립에 미달한 기업들에서는 적립비율이 미래 주식수익률에 (+)의 영향을 미쳐 앞서 요인모형의 결과를 지지하는 결과를 보여준다. 이는 최소적립비율은 달성하였으나 완전적립에는 미달한 기업들에 대해 투자자들이 적립부족위험을 간과하여 주가가 이를 반영하지 못함을 말해준다.
확정급여형 퇴직연금,사외적립자산,확정급여채무,적립비율,위험조정수익률
The Risk of Underfunded Defined Benefit Pension and the Stock Returns
Park, Jong Won
Lee, Woo-baik
The level of pension assets that can cover pension liabilities in firms that operate defined benefit (DB) pensions and the management of pension assets is important information that affects the valuation of the companies in the capital market. This study analyzed the effect of the underfunded risk of DB pension plan on stock returns for firms listed on the Korea Exchange. We examined the relationship between the pension funding ratio and the stock return through multivariate analysis including firm characteristic variables for companies that adopted the DB pension system from 2013 to 2022, when the minimum funding ratio of plan assets for DB was gradually raised in the Employee Retirement Benefit Security Act(ERBSA). The main results of this study are summarized as follows. First, during the sample period, pension funding ratios increasd in accordance with the minimum funding ratio provisions specified in the ERBSA. In addition, the level of the funding ratio and the behavior of asset allocation focused on safe assets showed strong persistence throughout the sample years. Second, for portfolios sorterd by the pension funding ratio, the alpha (risk-adjusted excess return) from the factor model was estimated to be a statistically significant negative sign in the portfolio with high funding ratio, while no statistical significance was found in the portfolio that did not meet the minimum funding ratio. These results imply that the stock prices of firms that meet the minimum funding ratio exhibited the tendency of overvaluation in the market. Furthermore, it was confirmed that such pricing errors are a dominant results in companies that met the minimally required funding ratio but did not meet the overfunding ratio. Third, the robustness of the portfolio analysis results estimated by the factor model was confirmed through panel regression analysis. As a result of the analysis, firms that do not meet the minimum funding ratio show higher stock returns as the funding ratio is lower (the higher the underfunding risk), but firms that achieve the minimum funding ratio do not explain changes in returns. However, even if the minimum accumulation ratio is achieved, companies that do not fully overfunding ratio show an increase in stock returns as the funding ratio increases. These results support the analysis of the factor model earlier, and imply that investors neglected the underfunded risk for firms that have met the minimum funding ratio but do not fully cover the pension liabilities, so the underfunded risk is not reflected in stock price.
Defined Benefit Pension,Pension assets,Projected Benefit Obligation,Funding Ratio,Risk-adjusted Excess Return
