The focus of this study analyzes the impact of pension risk on cost of debt and cost of equity in companies with pension plan assets based on three measurements: value of pension liabilities, the difference between value of pension assets and value of pension liabilities, and the difference between risk of pension assets and risk of pension liabilities. This study uses samples of non financial companies that had been listed in Bursa Efek Indonesia from 2012 until 2014. The result of this study shows that there is no significant impact of pension risk on cost of debt and cost of equity based on all three measurements. It shows that investors and creditors in Indonesian capital maket have not absorbed well any information related to pension risk, so they do not count on such risk in making investment decisions.