財(cái)務(wù)風(fēng)險(xiǎn)-外文文獻(xiàn)

1、外文文獻(xiàn)The Important Of Financial RiskSohnke M. Bartram Gregory W. Brown and Murat AtamerAbstract:This paper examines the determinants of equity price risk for a largesample of non-finaneial corporations in the United States from 1964 to 2008. Weestimate both structural and reduced form models to exami

2、ne the endogenous natureof corporate financial characteristics such as total debt debt maturity cash holdingsand dividend policy. We find that the observed levels of equity price risk areexplained primarily by operating and asset characteristics such as firm age size assettangibility as well as oper

3、ating cash flow levels and volatility. In contrast impliedmeasures of financial risk are generally low and more stable than debt-to-equity measures of financial risk have declined over the last 30 years even as measuresof equity volatility . idiosyncratic risk have tended to increase. Consequentlydo

4、cumented trends in equity price risk are more than fully accounted for by trends inthe riskiness of firms' assets. Taken together the results suggest that the typical substantially reduces financial risk by carefully managing financial policies. As aresult residual financial risk now appears neg

5、ligible relative to underlying economicrisk for a typical non-finaneial firm.Keywords： Capital structure； financial risk： risk management： corporate financelL IntroductionThe financial crisis of 2008 has brought significant attention to the effects offinancial leverage. There is no doubt that the hi

6、gh levels of debt financing by financialinstitutions and households significantly contributed to the crisis. Indeed evidenceindicates that excessive leverage orchestrated by major global banks . through themortgage lending and collateralized debt obligations and the so-called ushadowbanking system ”

7、 may be the underlying cause of the recent economic and finaneialdislocation. Less obvious is the role of financial leverage among nonfinancial date problems in the . non-finaneial sector have been minor compared to thedistress in the financial sector despite the seizing of capital markets during th

8、e example non-finaneial bankruptcies have been limited given that the economicdecline is the largest since the great depression of the 1930s. In fact bankruptcyfilings of non-financial firms have occurred mostly in . industries manufacturing newspapers and real estate that faced fundamentaleconomic

9、pressures prior to the financial crisis. This surprising fact begs the question “How important is financial risk for non-financial firms M At the heart of this issue isthe uncertainty about the determinants of total firm risk as well as components of f irmrisk.Recent academic research in both asset

10、pricing and corporate finance hasrekindled an interest in analyzing equity price risk. A current strand of the assetpricing literature examines the finding of Campbell et al. 2001 that firm-specific idiosyncratic risk has tended to increase over the last 40 years. Other work suggeststhat idiosyncrat

11、ic risk may be a priced risk factor see Goyal and Santa-Clara 2003among others. Also related to these studies is work by Pastor and Veronesi 2003showing how investor uncertainty about firm profitability is an important determinantof idiosyncratic risk and firm value. Other research has examined the

12、role of equityvolatility in bond pricing . Dichev 1998 Campbell Hilscher and Szilagyi2008.However much of the empirical work examining equity price risk takes the riskof assets as given or tries to explain the trend in idiosyncratic risk. In contrast thispaper takes a different tack in the investiga

13、tion of equity price risk. First we seek tounderstand the determinants of equity price risk at the firm level by considering totalrisk as the product of risks inherent in the firms operations . economic or businessrisks and risks associated with financing the firms operations . financial we attempt

14、to assess the relative importance of economic and financial risksand the implications for financial policy.Early research by Modigliani and Miller 1958 suggests that financial policymay be largely irrelevant for firm value because investors can replicate manyfinaneial decisions by the firm at a low

15、cost . via homemade leverage andwe11-function!ng capital markets should be able to distinguish between financial andeconomic distress. Nonetheless financial policies such as adding debt to the capital structure can magnify the risk of equity. In contrast recent research on corporate riskmanagement s

16、uggests that firms may also be able to reduce risks and increase valuewith financial policies such as hedging with financial derivatives. However thisresearch is often motivated by substantial deadweight costs associated with finaneialdistress or other market imperfections associated with financial

17、leverage. Empiricalresearch provides conflicting accounts of how costly financial distress can be for atypical publicly traded firm.We attempt to directly address the roles of economic and financial risk byexamining determinants of total firm risk. In our analysis we utilize a large sample ofnon-fin

18、ancial firms in the United goal of identifying the most importantdeterminants of equity price risk volatility relies on viewing financial policy astransforming asset volatility into equity volatility via financial leverage. Thusthroughout the paper we consider financial leverage as the wedge between

19、 assetvolatility and equity volatility. For example in a static settingdebt provides financialleverage that magnifies operating cash flow volatility. Because financial policy isdetermined by owners and managers we are careful to examine the effects of firms * asset and operating characteristics on f

20、inancial policy. Specifically we examine avariety of characteristics suggested by previous research and as clearly as possibledistinguish between those associated of the company, factors determining economic risk) and those associated with financing the firm, factors determining financial risk). We

21、then allow economic risk to be a determinant of financial policy in the structural framework of Leland and Toft (1996), or alternatively, in a reduced form model of financial advantage of the structural model approach is that we are able to account for both the possibility of financial and operating

22、 implciations of some factors .dividends), as well as the endogenous nature of the bankruptcy,decision andOur proxy, derived from proxies forfinancial policy in general.for firm risk is the volantility if common stock returns calculating the standard deviation of daliy equity econmic risk are design

23、ed to capture the essential charactersitics of the firm' s operations and assets that determine the cash flow generating process for the example, firm size and age provide measures of line of - business maturity; tangible assets (plant, property, and equipment)serve as a proxy for the 'hardn

24、ess' of a firm' s assets;capital expenditures measure captial intensity as well as growth profitability and operating profit volatility serve as measures of the timeliness and riskiness of cash understand how financial factors affect firm risk, we examine total debt, debt maturity, dividend

25、payouts, and holdings of cash and short-term investments.The primary resuit or our analysis is surpriing:factors determining economic risk for a typical company exlain the vast majority of the varation in equity , measures of implied financial leverage are much lower than observed debt ratios. Speci

26、fically, in our sample covering 1964-2008 average actual net financial (market) leverage is compared to our estimates of between and (depending on model specification and estimation technique). This suggests that firms may undertake other financial policise to manage financial risk and thus lower ef

27、fective leverage to nearly negligible policies might include dynamically adjusting financial variables such as debt levels,debt maturity, or cash holdings (see,for example , Acharya, Almeida, and Campello, 2007). In addition, many firms also utilize explicit financial risk management techniques such

28、 as the use of financial dervatives, contractual arrangements with investors . lines of credit, call provisions in debt contracts , or contingencies in supplier contracts ), spcial purpose vehicles (SPVs), or other alternative risk transfer techniques.The effects of our ecnomic risk factors on equit

29、y volatility are generally highly statiscally significant, with predicted size and age of the is intuitive since large and mature firms typically have more stable lines of business, which shoule be reflected in the volatility. This suggests that companties with higher and more stable operating cash

30、flows are less likely to go bankrupt, and therefore are potentially less risky . Among economic risk variables, the effects of firm size ,prfit volatility, and dividend policy on equity volatility stand out. Unlike some previous studies,our careful treatment of the endogeneity of financial policy confirms that leveage increases total firm risk. Otherwise, fiancial risk factors are not reliably to total risk.Given the large literature on financ