财务管理外文资料翻译01Word格式文档下载.docx

财务管理外文资料翻译01Word格式文档下载.docx

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管理信息系

专业：

财务管理

班级：

姓名：

学号：

外文出处：

TheoryandDecision

附件：

1.原文；

2.译文

HowImportantisFinancialRisk?

作者：

SohnkeM.Bartram,GregoryW.Brown,andMuratAtamer

起止页码：

1-7

出版日期（期刊号）：

September2009,Vol.2,No.4（SerialNo.11）

出版单位：

TheoryandDecision,DOI10.1007/s11238-005-4590-0

Abstract：

Thispaperexaminesthedeterminantsofequitypriceriskforalargesampleofnon-financialcorporationsintheUnitedStatesfrom1964to2008.Weestimatebothstructuralandreducedformmodelstoexaminetheendogenousnatureofcorporatefinancialcharacteristicssuchastotaldebt,debtmaturity,cashholdings,anddividendpolicy.Wefindthattheobservedlevelsofequitypriceriskareexplainedprimarilybyoperatingandassetcharacteristicssuchasfirmage,size,assettangibility,aswellasoperatingcashflowlevelsandvolatility.Incontrast,impliedmeasuresoffinancialriskaregenerallylowandmorestablethandebt-to-equityratios.Ourmeasuresoffinancialriskhavedeclinedoverthelast30yearsevenasmeasuresofequityvolatility（e.g.idiosyncraticrisk）havetendedtoincrease.Consequently,documentedtrendsinequitypriceriskaremorethanfullyaccountedforbytrendsintheriskinessoffirms’assets.Takentogether,theresultssuggestthatthetypicalU.S.firmsubstantiallyreducesfinancialriskbycarefullymanagingfinancialpolicies.Asaresult,residualfinancialrisknowappearsnegligiblerelativetounderlyingeconomicriskforatypicalnon-financialfirm.

Keywords：

Capitalstructure；

financialrisk；

riskmanagement；

corporatefinance

1Introduction

Thefinancialcrisisof2008hasbroughtsignificantattentiontotheeffectsoffinancialleverage.Thereisnodoubtthatthehighlevelsofdebtfinancingbyfinancialinstitutionsandhouseholdssignificantlycontributedtothecrisis.Indeed,evidenceindicatesthatexcessiveleverageorchestratedbymajorglobalbanks（e.g.,throughthemortgagelendingandcollateralizeddebtobligations）andtheso-called“shadowbankingsystem”maybetheunderlyingcauseoftherecenteconomicandfinancialdislocation.Lessobviousistheroleoffinancialleverageamongnonfinancialfirms.Todate,problemsintheU.S.non-financialsectorhavebeenminorcomparedtothedistressinthefinancialsectordespitetheseizingofcapitalmarketsduringthecrisis.Forexample,non-financialbankruptcieshavebeenlimitedgiventhattheeconomicdeclineisthelargestsincethegreatdepressionofthe1930s.Infact,bankruptcyfilingsofnon-financialfirmshaveoccurredmostlyinU.S.industries（e.g.,automotivemanufacturing,newspapers,andrealestate）thatfacedfundamentaleconomicpressurespriortothefinancialcrisis.Thissurprisingfactbegsthequestion,“Howimportantisfinancialriskfornon-financialfirms?

”Attheheartofthisissueistheuncertaintyaboutthedeterminantsoftotalfirmriskaswellascomponentsoffirmrisk.

Recentacademicresearchinbothassetpricingandcorporatefinancehasrekindledaninterestinanalyzingequitypricerisk.AcurrentstrandoftheassetpricingliteratureexaminesthefindingofCampbelletal.（2001）thatfirm-specific（idiosyncratic）riskhastendedtoincreaseoverthelast40years.Otherworksuggeststhatidiosyncraticriskmaybeapricedriskfactor（seeGoyalandSanta-Clara,2003,amongothers）.AlsorelatedtothesestudiesisworkbyPá

storandVeronesi（2003）showinghowinvestoruncertaintyaboutfirmprofitabilityisanimportantdeterminantofidiosyncraticriskandfirmvalue.Otherresearchhasexaminedtheroleofequityvolatilityinbondpricing（e.g.,Dichev,1998,Campbell,Hilscher,andSzilagyi,2008）.

However,muchoftheempiricalworkexaminingequitypricerisktakestheriskofassetsasgivenortriestoexplainthetrendinidiosyncraticrisk.Incontrast,thispapertakesadifferenttackintheinvestigationofequitypricerisk.First,weseektounderstandthedeterminantsofequitypriceriskatthefirmlevelbyconsideringtotalriskastheproductofrisksinherentinthefirmsoperations（i.e.,economicorbusinessrisks）andrisksassociatedwithfinancingthefirmsoperations（i.e.,financialrisks）.Second,weattempttoassesstherelativeimportanceofeconomicandfinancialrisksandtheimplicationsforfinancialpolicy.

EarlyresearchbyModiglianiandMiller（1958）suggeststhatfinancialpolicymaybelargelyirrelevantforfirmvaluebecauseinvestorscanreplicatemanyfinancialdecisionsbythefirmatalowcost（i.e.,viahomemadeleverage）andwell-functioningcapitalmarketsshouldbeabletodistinguishbetweenfinancialandeconomicdistress.Nonetheless,financialpolicies,suchasaddingdebttothecapitalstructure,canmagnifytheriskofequity.Incontrast,recentresearchoncorporateriskmanagementsuggeststhatfirmsmayalsobeabletoreducerisksandincreasevaluewithfinancialpoliciessuchashedgingwithfinancialderivatives.However,thisresearchisoftenmotivatedbysubstantialdeadweightcostsassociatedwithfinancialdistressorothermarketimperfectionsassociatedwithfinancialleverage.Empiricalresearchprovidesconflictingaccountsofhowcostlyfinancialdistresscanbeforatypicalpubliclytradedfirm.

Weattempttodirectlyaddresstherolesofeconomicandfinancialriskbyexaminingdeterminantsoftotalfirmrisk.Inouranalysisweutilizealargesampleofnon-financialfirmsintheUnitedStates.Ourgoalofidentifyingthemostimportantdeterminantsofequitypricerisk（volatility）reliesonviewingfinancialpolicyastransformingassetvolatilityintoequityvolatilityviafinancialleverage.Thus,throughoutthepaper,weconsiderfinancialleverageasthewedgebetweenassetvolatilityandequityvolatility.Forexample,inastaticsetting,debtprovidesfinancialleveragethatmagnifiesoperatingcashflowvolatility.Becausefinancialpolicyisdeterminedbyowners（andmanagers）,wearecarefultoexaminetheeffectsoffirms’assetandoperatingcharacteristicsonfinancialpolicy.Specifically,weexamineavarietyofcharacteristicssuggestedbypreviousresearchand,asclearlyaspossible,distinguishbetweenthoseassociatedwiththeoperationsofthecompany（i.e.factorsdeterminingeconomicrisk）andthoseassociatedwithfinancingthefirm（i.e.factorsdeterminingfinancialrisk）.WethenalloweconomicrisktobeadeterminantoffinancialpolicyinthestructuralframeworkofLelandandToft（1996）,oralternatively,inareducedformmodeloffinancialleverage.Anadvantageofthestructuralmodelapproachisthatweareabletoaccountforboththepossibilityoffinancialandoperatingimplicationsofsomefactors（e.g.,dividends）,aswellastheendogenousnatureofthebankruptcydecisionandfinancialpolicyingeneral.

Ourproxyforfirmriskisthevolatilityofcommonstockreturnsderivedfromcalculatingthestandarddeviationofdailyequityreturns.Ourproxiesforeconomicriskaredesignedtocapturetheessentialcharacteristicsofthefirms’operationsandassetsthatdeterminethecashflowgeneratingprocessforthefirm.Forexample,firmsizeandageprovidemeasuresoflineof-businessmaturity;

tangibleassets（plant,property,andequipment）serveasaproxyforthe‘hardness’ofafirm’sassets;

capitalexpendituresmeasurecapitalintensityaswellasgrowthpotential.Operatingprofitabilityandoperatingprofitvolatilityserveasmeasuresofthetimelinessandriskinessofcashflows.Tounderstandhowfinancialfactorsaffectfirmrisk,weexaminetotaldebt,debtmaturity,dividendpayouts,andholdingsofcashandshort-terminvestments.

Theprimaryresultofouranalysisissurprising:

factorsdeterminingeconomicriskforatypicalcompanyexplainthevastmajorityofthevariationinequityvolatility.Correspondingly,measuresofimpliedfinancialleveragearemuchlowerthanobserveddebtratios.Specifically,inoursamplecovering1964-2008averageactualnetfinancial（market）leverageisabout1.50comparedtoourestimatesofbetween1.03and1.11（dependingonmodelspecificationandestimationtechnique）.Thissuggeststhatfirmsmayundertakeotherfinancialpoliciestomanagefinancialriskandthuslowereffectiveleveragetonearlynegligiblelevels.Thesepoliciesmightincludedynamicallyadjustingfinancialvariablessuchasdebtlevels,debtmaturity,orcashholdings（see,forexample,Acharya,Almeida,andCampello,2007）.Inaddition,manyfirmsalsoutilizeexplicitfinancialriskmanagementtechniquessuchastheuseoffinancialderivatives,contractualarrangementswithinvestors（e.g.linesofcredit,callprovisionsindebtcontracts,orcontingenciesinsuppliercontracts）,specialpurposevehicles（SPVs）,orotheralternativerisktransfertechniques.

Theeffectsofoureconomicriskfactorsonequityvolatilityaregenerallyhighlystatisticallysignificant,withpredictedsigns.Inaddition,themagnitudesoftheeffectsaresubstantial.Wefindthatvolatilityofequitydecreaseswiththesizeandageofthefirm.Thisisintuitivesincelargeandmaturefirmstypicallyhavemorestablelinesofbusiness,whichshouldbereflectedinthevolatilityofequityreturns.Equityvolatilitytendstodecreasewithcapitalexpendituresthoughtheeffectisweak.ConsistentwiththepredictionsofPá

storandVeronesi（2003）,wefindthatfirmswithhigherprofitabilityandlowerprofitvolatilityhavelowerequityvolatility.Thissuggeststhatcompanieswithhigherandmorestableoperatingcashflowsarelesslikelytogobankrupt,andthereforearepotentiallylessrisky.Amongeconomicriskvariables,theeffectsoffirmsize,profitvolatility,anddividendpolicyonequityvolatility