The objective of this study is to examine the association between nonpension postretirement benefits (NPPRB) liability and systematic risk (beta) during the period of 1989 through 1991. This study has identified a sample of Statement of Financial Standards (SFAS) 106 adopters who were required to disclose the estimated NPPRB liability no later than calendar year 1993. Beta is modeled as a function of unlevered beta, debt, the NPPRB liability and equity. We find that investors recognized the NPPRB liability prior to 1992 and used this information in the assessment of systematic risk.
Department, Program, or Center
Journal of Business, Industry, and Economics. 2001. 36-49.
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