外文文獻及中文翻譯：財務風險的重要性HowImportantisFinancialRisk

1、外文資料翻譯英文原文how important is financial risk?introductionthe financial crisis of 2008 has brought significant attention to the effects of financial leverage. there is no doubt that the high levels of debt financing by financial institutions and households significantly contributed to the crisis. indeed

2、, evidence indicates that excessive leverage orchestrated by major global banks (e.g., through the mortgage lending and collateralized debt obligations) and the so-called “shadow banking system” may be the underlying cause of the recent economic and financial dislocation. less obvious is the role of

3、 financial leverage among nonfinancial firms. to date, problems in the u.s. non-financial sector have been minor compared to the distress in the financial sector despite the seizing of capital markets during the crisis. for example, non-financial bankruptcies have been limited given that the economi

4、c decline is the largest since the great depression of the 1930s. in fact, bankruptcy filings of non-financial firms have occurred mostly in u.s. industries (e.g., automotive manufacturing, newspapers, and real estate) that faced fundamental economic pressures prior to the financial crisis. this sur

5、prising fact begs the question, “how important is financial risk for non-financial firms?” at the heart of this issue is the uncertainty about the determinants of total firm risk as well as components of firm risk.studyrecent academic research in both asset pricing and corporate finance has rekindle

6、d an interest in analyzing equity price risk. a current strand of the asset pricing 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 suggests that idiosyncratic risk may be a priced risk factor

7、 (see goyal and santa-clara, 2003, among others). also related to these studies is work by pstor and veronesi (2003) showing how investor uncertainty about firm profitability is an important determinant of idiosyncratic risk and firm value. other research has examined the role of equity volatility i

8、n bond pricing (e.g., dichev, 1998, campbell, hilscher, and szilagyi, 2008).however, much of the empirical work examining equity price risk takes the risk of assets as given or tries to explain the trend in idiosyncratic risk. in contrast, this paper takes a different tack in the investigation of eq

9、uity price risk. first, we seek to understand the determinants of equity price risk at the firm level by considering total risk as the product of risks inherent in the firms operations (i.e., economic or business risks) and risks associated with financing the firms operations (i.e., financial risks)

10、. second, we attempt to assess the relative importance of economic and financial risks and the implications for financial policy.early research by modigliani and miller (1958) suggests that financial policy may be largely irrelevant for firm value because investors can replicate many financial decis

11、ions by the firm at a low cost (i.e., via homemade leverage) and well-functioning capital markets should be able to distinguish between financial and economic distress. nonetheless, financial policies, such as adding debt to the capital structure, can magnify the risk of equity. in contrast, recent

12、research on corporate risk management suggests that firms may also be able to reduce risks and increase value with financial policies such as hedging with financial derivatives. however, this research is often motivated by substantial deadweight costs associated with financial distress or other mark

13、et imperfections associated with financial leverage. empirical research provides conflicting accounts of how costly financial distress can be for a typical publicly traded firm.we attempt to directly address the roles of economic and financial risk by examining determinants of total firm risk. in ou

14、r analysis we utilize a large sample of non-financial firms in the united states. our goal of identifying the most important determinants of equity price risk (volatility) relies on viewing financial policy as transforming asset volatility into equity volatility via financial leverage. thus, through

15、out the paper, we consider financial leverage as the wedge between asset volatility and equity volatility. for example, in a static setting, debt provides financial leverage that magnifies operating cash flow volatility. because financial policy is determined by owners (and managers), we are careful

16、 to examine the effects of firms asset and operating characteristics on financial policy. specifically, we examine a variety of characteristics suggested by previous research and, as clearly as possible, distinguish between those associated with the operations of the company (i.e. factors determinin

17、g economic risk) and those associated with financing the firm (i.e. factors determining financial risk). we 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 leverage. an adva

18、ntage of the structural model approach is that we are able to account for both the possibility of financial and operating implications of some factors (e.g., dividends), as well as the endogenous nature of the bankruptcy decision and financial policy in general. our proxy for firm risk is the volati

19、lity of common stock returns derived from calculating the standard deviation of daily equity returns. our proxies for economic risk are designed to capture the essential characteristics of the firms operations and assets that determine the cash flow generating process for the firm. for example, firm

20、 size and age provide measures of line of- business maturity; tangible assets (plant, property, and equipment) serve as a proxy for the hardness of a firms assets; capital expenditures measure capital intensity as well as growth potential. operating profitability and operating profit volatility serv

21、e as measures of the timeliness and riskiness of cash flows. to understand how financial factors affect firm risk, we examine total debt, debt maturity, dividend payouts, and holdings of cash and short-term investments.the primary result of our analysis is surprising: factors determining economic ri

22、sk for a typical company explain the vast majority of the variation in equity volatility. correspondingly, measures of implied financial leverage are much lower than observed debt ratios. specifically, in our sample covering 1964-2008 average actual net financial (market) leverage is about 1.50 comp

23、ared to our estimates of between 1.03 and 1.11 (depending on model specification and estimation technique). this suggests that firms may undertake other financial policies to manage financial risk and thus lower effective leverage to nearly negligible levels. these policies might include dynamically

24、 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 as the use of financial derivatives, contractual arrangements with inv

25、estors (e.g. lines of credit, call provisions in debt contracts, or contingencies in supplier contracts), special purpose vehicles (spvs), or other alternative risk transfer techniques.the effects of our economic risk factors on equity volatility are generally highly statistically significant, with

26、predicted signs. in addition, the magnitudes of the effects are substantial. we find that volatility of equity decreases with the size and age of the firm. this is intuitive since large and mature firms typically have more stable lines of business, which should be reflected in the volatility of equi

27、ty returns. equity volatility tends to decrease with capital expenditures though the effect is weak. consistent with the predictions of pstor and veronesi (2003), we find that firms with higher profitability and lower profit volatility have lower equity volatility. this suggests that companies with

28、higher and more stable operating cash flows are less likely to go bankrupt, and therefore are potentially less risky. among economic risk variables, the effects of firm size, profit volatility, and dividend policy on equity volatility stand out. unlike some previous studies, our careful treatment of

29、 the endogeneity of financial policy confirms that leverage increases total firm risk. otherwise, financial risk factors are not reliably related to total risk.given the large literature on financial policy, it is no surprise that financial variables are,at least in part, determined by the economic

30、risks firms take. however, some of the specific findings are unexpected. for example, in a simple model of capital structure, dividend payouts should increase financial leverage since they represent an outflow of cash from the firm (i.e., increase net debt). we find that dividends are associated wit

31、h lower risk. this suggests that paying dividends is not as much a product of financial policy as a characteristic of a firms operations (e.g., a mature company with limited growth opportunities). we also estimate how sensitivities to different risk factors have changed over time. our results indica

32、te that most relations are fairly stable. one exception is firm age which prior to 1983 tends to be positively related to risk and has since been consistently negatively related to risk. this is related to findings by brown and kapadia (2007) that recent trends in idiosyncratic risk are related to s

33、tock listings by younger and riskier firms.perhaps the most interesting result from our analysis is that our measures of implied financial leverage have declined over the last 30 years at the same time that measures of equity price risk (such as idiosyncratic risk) appear to have been increasing. in

34、 fact, measures of implied financial leverage from our structural model settle near 1.0 (i.e., no leverage) by the end of our sample. there are several possible reasons for this. first, total debt ratios for non-financial firms have declined steadily over the last 30 years, so our measure of implied

35、 leverage should also decline. second, firms have significantly increased cash holdings, so measures of net debt (debt minus cash and short-term investments) have also declined. third, the composition of publicly traded firms has changed with more risky (especially technology-oriented) firms becomin

36、g publicly listed. these firms tend to have less debt in their capital structure. fourth, as mentioned above, firms can undertake a variety of financial risk management activities. to the extent that these activities have increased over the last few decades, firms will have become less exposed to fi

37、nancial risk factors.we conduct some additional tests to provide a reality check of our results. first, we repeat our analysis with a reduced form model that imposes minimum structural rigidity on our estimation and find very similar results. this indicates that our results are unlikely to be driven

38、 by model misspecification. we also compare our results with trends in aggregate debt levels for all u.s. non-financial firms and find evidence consistent with our conclusions. finally, we look at characteristics of publicly traded non-financial firms that file for bankruptcy around the last three r

39、ecessions and find evidence suggesting that these firms are increasingly being affected by economic distress as opposed to financial distress.conclusionin short, our results suggest that, as a practical matter, residual financial risk is now relatively unimportant for the typical u.s. firm. this rai

40、ses questions about the level of expected financial distress costs since the probability of financial distress is likely to be lower than commonly thought for most companies. for example, our results suggest that estimates of the level of systematic risk in bond pricing may be biased if they do not

41、take into account the trend in implied financial leverage (e.g., dichev, 1998). our results also bring into question the appropriateness of financial models used to estimate default probabilities, since financial policies that may be difficult to observe appear to significantly reduce risk. lastly,

42、our results imply that the fundamental risks born by shareholders are primarily related to underlying economic risks which should lead to a relatively efficient allocation of capital.some readers may be tempted to interpret our results as indicating that financial risk does not matter. this is not t

43、he proper interpretation. instead, our results suggest that firms are able to manage financial risk so that the resulting exposure to shareholders is low compared to economic risks. of course, financial risk is important to firms that choose to take on such risks either through high debt levels or a

44、 lack of risk management. in contrast, our study suggests that the typical non-financial firm chooses not to take these risks. in short, gross financial risk may be important, but firms can manage it. this contrasts with fundamental economic and business risks that are more difficult (or undesirable

45、) to hedge because they represent the mechanism by which the firm earns economic profits.references1shyam,sunder.theory accounting and controlj.an innternational theory on publishingcompany.20052ogryezak,w,ruszeznski,a. rom stomchastic dominance to mean-risk models:semide-viations as risk measuresj.

46、european journal of operational research.3 borowski, d.m., and p.j. elmer. an expert system approach to financial analysis: the case of s&l bankruptcy j.financial management, autumn.2004;4 casey, c.and n. bartczak. using operating cash flow data to predict financial distress: some extensionsj. journ

47、al of accounting research,spring.2005;5 john m.mulvey,hafizegerkan.applying cvar for decentralized risk management of financial companiesj.journal of banking&finanee.2006;6 altman. credit rating:methodologies,rationale and default riskmrisk books,london. 譯文：財務風險的重要性引言2008年的金融危機對金融杠桿的作用產(chǎn)生重大影響。毫無疑問，向金

48、融機構(gòu)的巨額舉債和內(nèi)部融資均有風險。事實上，有證據(jù)表明，全球主要銀行精心策劃的杠桿（如通過抵押貸款和擔保債務）和所謂的“影子銀行系統(tǒng)”可能是最近的經(jīng)濟和金融混亂的根本原因。財務杠桿在非金融企業(yè)的作用不太明顯。迄今為止，盡管資本市場已困在危機中，美國非金融部門的問題相比金融業(yè)的困境來說顯得微不足道。例如，非金融企業(yè)破產(chǎn)機遇僅限于自20世紀30年代大蕭條以來的最大經(jīng)濟衰退。事實上，非金融公司申請破產(chǎn)的事件大都發(fā)生在美國各行業(yè)（如汽車制造業(yè)，報紙，房地產(chǎn)）所面臨的基本經(jīng)濟壓力即金融危機之前。這令人驚訝的事實引出了一個問題 “非金融公司的財務風險是如何重要？”。這個問題的核心是關于公司的總風險以及公司

49、風險組成部分的各決定因素的不確定性。研究最近在資產(chǎn)定價和企業(yè)融資再度引發(fā)的兩個學術研究中分析了股票價格風險利率。一系列的資產(chǎn)定價文獻探討了關于卡貝爾等的發(fā)現(xiàn)。（2001）在過去的40年，公司特定（特有）的風險有增加的趨勢。相關的工作表明，個別風險可能是一個價格風險因素（見戈亞爾和克萊拉，2003年）。也關系到牧師和維羅妮卡的工作研究結(jié)果（2003年），顯示投資者對公司盈利能力是其特殊風險還是公司價值不確定的重要決定因素。其他研究（如迪切夫，1998年，坎貝爾，希爾舍，和西拉吉，2008）已經(jīng)研究了股票，債券價格波動的作用。然而，股票價格風險實證研究的大部分工作需要提供資產(chǎn)風險或試圖解釋特有風險

50、的趨勢。與此相反，本文從不同的角度調(diào)查股票價格風險。首先，我們通過在公司經(jīng)營中有關的產(chǎn)品所固有的風險（即，經(jīng)濟或商業(yè)風險）來考慮為企業(yè)融資業(yè)務風險，和企業(yè)運營有關的財務風險（即，金融風險）。第二，我們試圖評估經(jīng)濟和財務風險的相對重要性以及對金融政策的影響。莫迪利亞尼和米勒提早研究（1958）認為，財政政策可以在很大程度上與公司價值無關，因為投資者可以通過咨詢許多金融公司最終以較低的成本入資（即，通過自制的杠桿）同時運作良好的資本市場應該可以區(qū)分金融危機和經(jīng)濟危機。盡管如此，金融政策，如增加債務資本結(jié)構(gòu)，可以放大財務風險。相反，對企業(yè)風險管理最近的研究表明，企業(yè)通過發(fā)行金融衍生品也可以減少企業(yè)風

51、險和增加企業(yè)價值。然而，本研究的動機往往是與金融危機有關的巨額成本或其他相關費用和與財務杠桿有關的市場缺陷。實證研究表明金融危機如何侵蝕一家典型上市公司的巨額帳戶。我們試圖通過直接處理公司風險因素分析整體經(jīng)濟和金融風險的作用。在我們的分析過程中，我們利用了美國非金融公司的大樣本。我們確定的股票價格風險的最重要決定因素（波動性）視為通過財務杠桿將資產(chǎn)轉(zhuǎn)化為股權的財政政策。因此，在整個論文中，我們考慮了連接資產(chǎn)波動和股權波動的財務杠桿。由此可知，財務杠桿可以衡量資產(chǎn)和股權的波動性。由于財政政策是由經(jīng)營者（或經(jīng)營者）決定，因此我們應該注意與企業(yè)資產(chǎn)和運營有關的金融政策的影響。具體來說，我們研究了以前

52、的研究表明的各種特點，并盡可能明確區(qū)分與公司運營有關的風險（即決定經(jīng)濟的風險因素）和與企業(yè)融資有關的風險（即財務風險的決定因素）。然后，我們使經(jīng)濟風險成為利蘭和托夫特（1996）模型或者是降低財務杠桿的模型中財政政策的決定性因素。采用結(jié)構(gòu)模型的優(yōu)點是，我們能夠考慮，無論是有關財務及經(jīng)營問題的一些可能性因素（如分紅），還是一般破產(chǎn)決定，且為財政政策內(nèi)生性的可能性。我們代理的公司風險是從股票每天回報率的標準差而得的普通股的收益波動性計算而來。我們代理的經(jīng)濟風險是用來維護的公司的業(yè)務和資產(chǎn)，確定產(chǎn)生的現(xiàn)金流量的過程為公司的本質(zhì)特征。例如，企業(yè)規(guī)模和年齡可以衡量企業(yè)的成熟度；有形資產(chǎn)（廠房，財產(chǎn)和設備

53、）代表一個公司的“硬件”；資本開支衡量資本密集度以及企業(yè)發(fā)展?jié)摿?。營業(yè)利潤及其波動性可以衡量現(xiàn)金流量的及時性和存在的風險。要了解公司財務風險的影響因素，我們需考察總債務，債務期限，股息支出，以及現(xiàn)金和短期投資。我們分析的核心結(jié)果是驚人的：一個典型公司經(jīng)濟風險的決定性因素可以解釋絕大多數(shù)股票的波動性變化。相應地，隱含的財務杠桿遠遠比看到的負債比率低。具體來說，我們在涵蓋1964年至2008年的樣本中平均實際凈財務（市場）杠桿約為1.50，而我們的估計值（根據(jù)型號不同規(guī)格，估計技術）在1.03和1.11之間。這表明，企業(yè)可能采取其他金融政策管理金融風險，從而將有效杠桿降低到幾乎可以忽略不計的水平。

54、這些政策可能包括動態(tài)調(diào)整財務變量，如債務水平，債務期限，或現(xiàn)金控股（見如阿查里雅，阿爾梅達，和坎佩洛，2007）。此外，許多公司也利用諸如金融衍生工具，與投資者的合同安排（如信貸額度，債務合同要求規(guī)定，或在供應商合同應急費用），車輛特殊用途（特殊目的公司）使用明確的金融風險管理技術，或其他替代風險轉(zhuǎn)移技術。對股票波動性產(chǎn)生影響的經(jīng)濟風險因素預測的跡象通常非常顯著。此外，影響的幅度也是巨大的。我們發(fā)現(xiàn)，股權會隨著企業(yè)規(guī)模和年齡的大小而波動。這是直觀的，因為大型和成熟的企業(yè)通常有反映資本報酬波動的較穩(wěn)定業(yè)務范圍。資本支出的減少對股票的波動影響較弱。與牧師和韋羅內(nèi)西（2003年）的預測相一致，我們發(fā)

55、現(xiàn)，具有較高的盈利能力和較低的利潤波動性的公司股票的波動性較低。這表明，有更高，更穩(wěn)定的經(jīng)營性現(xiàn)金流量的公司破產(chǎn)的可能性較小，因此存在潛在風險的可能性較小。在所有的經(jīng)濟風險因素中，公司規(guī)模，利潤波動及股利政策對股票波動性的的影響突出。不像以前的一些研究中，我們對增加總公司杠桿風險的財政政策的內(nèi)生性精心研究證實。否則，金融風險與總風險存在不確定的關系。鑒于大量關于財政政策文獻的研究，毫不奇怪，至少部分金融變量由企業(yè)存在的經(jīng)濟風險決定。不過，具體的調(diào)查結(jié)果有些出人意料。例如，在一個簡單的模型中，資本結(jié)構(gòu)，股利支出會增加財務杠桿，因為它們代表了一個企業(yè)（即增加的凈債務）的現(xiàn)金流出。我們發(fā)現(xiàn)，股息與低風險有關。這表明，分紅沒有金融政策和作為一個公司運營特點的產(chǎn)品那么多（例如，有限的增長機會成熟的公司）。我們也估計不同的風險因素隨時間變化的敏感性不同。我們的研究結(jié)果表明，大多數(shù)關系都相當穩(wěn)定。一個例外是1983年之前企