Firm managers of defined-benefit (DB) pension plan sponsors reveal their primary motives — risk-shifting or risk-management — through their assumed expected rates of return (ERRs) on the plan assets. Managers with risk-shifting motives choose high ERRs to exploit flexible internal financing from employees via pension underfunding. Those with risk-management motives choose low ERRs to reduce future cash-flow uncertainty by improving the pension funding status. We examine if ERRs predict the firms’ future cash-flow allocation between pension funding and corporate investments, in a Japanese sample that mitigates the selection bias concern for US DB plan sponsors. Using dynamic panel regressions that control for lagged dependent variables, firms’ business prospects, and unobserved fixed effects, we show that higher ERRs precede higher capital investments, R&D expenses, and net pension obligations while revealing managerial aggression, especially among firms with high external financing costs. Higher ERRs predict higher market-to-book ratios for the firms with larger R&Ds and/or underfunding, suggesting that the risk-shifting channel of internal financing with high ERRs can help alleviate underinvestment problems.

固定收益 (DB) 养老金计划发起人的公司经理通过计划资产的假设预期回报率 (ERR) 揭示他们的主要动机——风险转移或风险管理。具有风险转移动机的管理者选择高 ERR 以通过养老金资金不足从员工那里获得灵活的内部融资。那些有风险管理动机的人选择低 ERR，通过改善养老基金状况来减少未来现金流的不确定性。我们在日本样本中检验了 ERR 是否能预测公司未来的养老基金和企业投资之间的现金流分配，该样本减轻了美国 DB 计划发起人的选择偏差担忧。使用动态面板回归来控制滞后因变量、公司的业务前景和未观察到的固定效应，我们表明，较高的 ERR 先于较高的资本投资、研发费用和净养老金义务，同时揭示了管理层的侵略性，尤其是在具有高外部融资成本的公司中。对于研发规模较大和/或资金不足的公司，较高的 ERR 预测较高的市账率，表明高 ERR 的内部融资风险转移渠道有助于缓解投资不足问题。