This study investigates the value relevance and persistence of the excess of expected return over interest income on pension assets (excess return on pension assets) and pension-related other comprehensive income (OCI) components under SFAS No. 158. I find that firm value is positively associated with the excess return on pension assets and prior service cost OCI adjustments, but not associated with net pension loss OCI adjustments. The Mishkin test indicates that investors overestimate the persistence of the excess return on pension assets and treat transitory prior service cost OCI adjustments as if prior service cost represents an intangible asset. Consequently, the market overprices firms with large amounts of the excess return on pension assets and prior service cost OCI adjustments. In contrast, investors appear to correctly understand the transitory feature of net pension loss OCI adjustments. Overall, the results have important implications for a broad audience including investors, firms, and standard setters.

本研究调查了 SFAS 第 158 号下养老金资产利息收入（养老金资产超额回报）和养老金相关的其他综合收益 (OCI) 组成部分的预期收益超额的价值相关性和持续性。我发现公司价值是与养老金资产超额回报和先前服务成本 OCI 调整正相关，但与养老金净损失 OCI 调整无关。米什金检验表明，投资者高估了养老金资产超额回报的持续性，并将暂时的先前服务成本 OCI 调整视为先前服务成本代表无形资产。因此，市场对养老金资产的大量超额收益和先前的服务成本 OCI 调整的公司定价过高。相比之下，投资者似乎正确理解了养老金净损失 OCI 调整的暂时性特征。总体而言，结果对包括投资者、公司和标准制定者在内的广大受众具有重要意义。