They have been looking at the price reaction in four different event windows of 82 US announcements of frozen / closed DB plans between 2003 to 2007 in various industries. Interestingly, there seems to be a correlation between closure events and the generic business cyclicality of the firm's industry sector. Event firms exhibited stock market underperformance compared to their peers in the years leading up to the event.
Results indicate no systematic empirical evidence for positive abnormal returns associated with DB plan freezes / closes. Separating freezes and plan closures exhibits a small, yet unexpected diversion: Plan freezes generated a negative abnormal return, whereas the (small) sample of closures (for new employees) produced a more pronounced positive return.
In sum, it seems that DB pension plan closures / freezes tend to be short-term, ineffective measure adopted by managements to counter performance pressure.