Just spent ages looking through PFM to find out. The only effect related to it that i found was that it drops movement speed by 25%.
So many people swear by Yari Wall, and i've seen lots of people claim they can beat samurai 1v1 in Wall formation...but it doesn't seem to have any effect (besides packing the units together, which makes AI archers even more ridiculous).
Besides testing it lately, it's really not something i bother with. It's also got an annoying habit of making infantry act even more stupid, since once they finish a fight they'll stand there facing the direction they were when the fight stopped (so if the enemy routed through them, they'll be sat there facing the oppsite way they were to begin with).
Another awful formation i couldn't find anything on: Wedge...but then i've never seen anyone claim Wedge as anything other than useless, from Rome to Shogun 2.
Is there something i'm missing?