You have seen the same headline a dozen times: underfunded pensions spell trouble. But which firms recover, which deteriorate, and why does the market seem to price these dynamics so unevenly? Our research isolates the cross-sectional signal from the macro noise, one dataset at a time.
You cannot test whether pension funding status predicts returns without solving three problems first. How do you measure funding status consistently across firms with different actuarial assumptions? How do you separate the pension effect from sector momentum, leverage, and size? And how do you handle the fact that some firms smooth their assumptions while others mark to market aggressively? Our cross-sectional methodology addresses each of these head-on. We reconstruct liability estimates from primary disclosures, standardize across measurement regimes, and run panel regressions that control for known risk factors. The result is not a trading signal. It is a framework for understanding how pension economics shape corporate outcomes in ways that standard equity analysis often misses.
Our published and ongoing work centers on four interconnected questions that institutional investors face when evaluating pension-intensive corporate universes.
How do swings in pension surplus or deficit translate into equity price movements, and which firms are most exposed to funding-driven volatility?
How sensitive are liability estimates to demographic assumptions, and which firms use conservative versus aggressive longevity projections?
Regulatory Framework Analysis
How do measurement rules, funding requirements, and disclosure standards across jurisdictions create cross-sectional return patterns?
Selected papers, whitepapers, and case studies from our current analytical program. Each includes full methodology disclosure and dataset documentation for institutional readers.
A cross-sectional analysis of how pension surplus and deficit dispersion within the European industrial sector predicted twelve-month forward returns between 2015 and 2024. Controls for leverage, profitability, and momentum.
A case study examining how liability-driven investment strategies adopted by UK defined benefit schemes altered the correlation structure between sponsor equity returns and funding status movements after 2020.
Empirical datasets
Query funding status across sectors and markets