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Abstract - Quest for Global Competitiveness - Universidad de Puerto ...

Abstract - Quest for Global Competitiveness - Universidad de Puerto ...

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sample period. For 2005, another aggregate un<strong>de</strong>rfunding appears; the biggest changein funding status. It reaches almost $1.5 billion in <strong>de</strong>ficit on a year to year basis.As <strong>for</strong> LTD, a ten<strong>de</strong>ncy to increase over the years is observed. From 1996 to 1997,the increase in the aggregate level of LTD is almost 323%. This is the biggest increasein the level of aggregate <strong>de</strong>bt <strong>for</strong> the whole sample. It concurred with the bull marketassociated to the Internet bubble. In 1997 it peaked, reaching an aggregate level ofalmost $7.5 trillion. Then, in 1998 it started to <strong>de</strong>crease averaging $6.3 trillion between1998 and 2005.Descriptive StatisticsTable 1 provi<strong>de</strong>s summary statistics on the main pension and LTD items and ratios.The average FVPA <strong>for</strong> the whole sample is about $645 million and the average PBO isabout $664 million (about 103% of the FVPA). The average funding level is -17%, incontrast to the median which is almost 0%. The minimum FR is -5940%, while themaximum is 154%. The average PRE is about $22.3 million, while the median is about$2.18 million. The minimum PRE is -$3.489 billion and the maximum is $3.435 billion.Table 2 reports <strong>de</strong>scriptive statistics of the FR portfolios. The characteristics inPanel A are measured at the end of fiscal year t – 1 relative to portfolio <strong>for</strong>mation. Forthe most un<strong>de</strong>rfun<strong>de</strong>d firms the average FR is about -515%. In contrast, <strong>for</strong> the leastun<strong>de</strong>rfun<strong>de</strong>d firms it is about -0.1% and 8.8% <strong>for</strong> the portfolio that contains overfun<strong>de</strong>dfirms. The most un<strong>de</strong>rfun<strong>de</strong>d firms have higher levels of LTDR. A consistent <strong>de</strong>creasein LTDR is observed through portfolio ten. The average size of the firms increasesalmost consistently. Smaller firms are concentrated in the most un<strong>de</strong>rfun<strong>de</strong>d portfolio.Firms in portfolio eleven have the second smallest average size of all the portfolios. As<strong>for</strong> B/M, value firms are concentrated in the most un<strong>de</strong>rfun<strong>de</strong>d portfolio. Panel Breports means and standard <strong>de</strong>viations <strong>for</strong> the excess returns of un<strong>de</strong>rfun<strong>de</strong>d firms’portfolios. Average returns increase as you move from portfolio one through ten. Asexpected, firms with higher levels of FR have the lowest average returns.Table 3 presents the characteristics <strong>for</strong> portfolios <strong>for</strong>med based on LTDR. Firms inthe first portfolio have highest levels of LTDR and firms in the tenth portfolio have lowerlevels of LTDR. The eleventh portfolio contains firms that have no LTD. The firms in

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