畢業(yè)論文外文參考資料及譯文

1、財(cái)務(wù)風(fēng)險(xiǎn)重要性分析作者：Sohnke M. Bartram, Gregory W. Brown, and Murat Atamer起始頁碼：1-7出版日期（期刊號(hào)）：September 2009,Vol. 2, No. 4(Serial No. 11)出版單位：Theory and Decision, DOI 10.1007/s11238-005-4590-0譯文：摘 要：本文探討了美國大型非金融企業(yè)從1964年至2008年股票價(jià)格風(fēng)險(xiǎn)的決定小性因素。我們通過相關(guān)結(jié)構(gòu)以及簡化模型，研究諸如債務(wù)總額，債務(wù)期限，現(xiàn)金持有量，及股利政策等公司財(cái)務(wù)特征，我們發(fā)現(xiàn)，股票價(jià)格風(fēng)險(xiǎn)主要通過經(jīng)營和資產(chǎn)特點(diǎn)，如

2、企業(yè)年齡，規(guī)模，有形資產(chǎn)，經(jīng)營性現(xiàn)金流及其波動(dòng)的水平來體現(xiàn)。與此相反，隱含的財(cái)務(wù)風(fēng)險(xiǎn)普遍偏低，且比產(chǎn)權(quán)比率穩(wěn)定。在過去30年，我們對(duì)財(cái)務(wù)風(fēng)險(xiǎn)采取的措施有所減少，反而對(duì)股票波動(dòng)（如獨(dú)特性風(fēng)險(xiǎn)）采取的措施逐漸增加。因此，股票價(jià)格風(fēng)險(xiǎn)的記載趨勢比公司的資產(chǎn)風(fēng)險(xiǎn)趨勢更具代表性。綜合二者，結(jié)果表明，典型的美國公司謹(jǐn)慎管理的財(cái)政政策大大降低了財(cái)務(wù)風(fēng)險(xiǎn)。因此，現(xiàn)在看來微不足道的剩余財(cái)務(wù)風(fēng)險(xiǎn)相對(duì)底層的非金融公司為一典型的經(jīng)濟(jì)風(fēng)險(xiǎn)。關(guān)鍵詞：資本結(jié)構(gòu)；財(cái)務(wù)風(fēng)險(xiǎn)；風(fēng)險(xiǎn)管理；企業(yè)融資1 緒論2008年的金融危機(jī)對(duì)金融杠桿的作用產(chǎn)生重大影響。毫無疑問，向金融機(jī)構(gòu)的巨額舉債和內(nèi)部融資均有風(fēng)險(xiǎn)。事實(shí)上，有證據(jù)表明，全球主要

3、銀行精心策劃的杠桿（如通過抵押貸款和擔(dān)保債務(wù)）和所謂的“影子銀行系統(tǒng)”可能是最近的經(jīng)濟(jì)和金融混亂的根本原因。財(cái)務(wù)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(jī)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(jī)遇僅限于自20世紀(jì)30年代大蕭條以來的最大經(jīng)濟(jì)衰退。事實(shí)上，非金融公司申請(qǐng)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(bào)紙，房地產(chǎn)）所面臨的基本經(jīng)濟(jì)壓力即金融危機(jī)之前。這令人驚訝的事實(shí)引出了一個(gè)問題 “非金融公司的財(cái)務(wù)風(fēng)險(xiǎn)是如何重要？”。這個(gè)問題的核心是關(guān)于公司的總風(fēng)險(xiǎn)以及公司風(fēng)險(xiǎn)組成部分的各決定因素的不確定性。最近在資產(chǎn)定價(jià)和企業(yè)融資再度

4、引發(fā)的兩個(gè)學(xué)術(shù)研究中分析了股票價(jià)格風(fēng)險(xiǎn)利率。一系列的資產(chǎn)定價(jià)文獻(xiàn)探討了關(guān)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(fēng)險(xiǎn)有增加的趨勢。相關(guān)的工作表明，個(gè)別風(fēng)險(xiǎn)可能是一個(gè)價(jià)格風(fēng)險(xiǎn)因素（見戈亞爾和克萊拉，2003年）。也關(guān)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(duì)公司盈利能力是其特殊風(fēng)險(xiǎn)還是公司價(jià)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(jià)格波動(dòng)的作用。然而，股票價(jià)格風(fēng)險(xiǎn)實(shí)證研究的大部分工作需要提供資產(chǎn)風(fēng)險(xiǎn)或試圖解釋特有風(fēng)險(xiǎn)的趨勢。與此相反，本文從不同的角度調(diào)查股票價(jià)格風(fēng)險(xiǎn)。首先，我們通過在

5、公司經(jīng)營中有關(guān)的產(chǎn)品所固有的風(fēng)險(xiǎn)（即，經(jīng)濟(jì)或商業(yè)風(fēng)險(xiǎn)）來考慮為企業(yè)融資業(yè)務(wù)風(fēng)險(xiǎn)，和企業(yè)運(yùn)營有關(guān)的財(cái)務(wù)風(fēng)險(xiǎn)（即，金融風(fēng)險(xiǎn)）。第二，我們?cè)噲D評(píng)估經(jīng)濟(jì)和財(cái)務(wù)風(fēng)險(xiǎn)的相對(duì)重要性以及對(duì)金融政策的影響。莫迪利亞尼和米勒提早研究（1958）認(rèn)為，財(cái)政政策可以在很大程度上與公司價(jià)值無關(guān)，因?yàn)橥顿Y者可以通過咨詢?cè)S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(shí)運(yùn)作良好的資本市場應(yīng)該可以區(qū)分金融危機(jī)和經(jīng)濟(jì)危機(jī)。盡管如此，金融政策，如增加債務(wù)資本結(jié)構(gòu)，可以放大財(cái)務(wù)風(fēng)險(xiǎn)。相反，對(duì)企業(yè)風(fēng)險(xiǎn)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(fēng)險(xiǎn)和增加企業(yè)價(jià)值。然而，本研究的動(dòng)機(jī)往往是與金融危機(jī)有關(guān)的巨額成本或

6、其他相關(guān)費(fèi)用和與財(cái)務(wù)杠桿有關(guān)的市場缺陷。實(shí)證研究表明金融危機(jī)如何侵蝕一家典型上市公司的巨額帳戶。我們?cè)噲D通過直接處理公司風(fēng)險(xiǎn)因素分析整體經(jīng)濟(jì)和金融風(fēng)險(xiǎn)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(jià)格風(fēng)險(xiǎn)的最重要決定因素（波動(dòng)性）視為通過財(cái)務(wù)杠桿將資產(chǎn)轉(zhuǎn)化為股權(quán)的財(cái)政政策。因此，在整個(gè)論文中，我們考慮了連接資產(chǎn)波動(dòng)和股權(quán)波動(dòng)的財(cái)務(wù)杠桿。由此可知，財(cái)務(wù)杠桿可以衡量資產(chǎn)和股權(quán)的波動(dòng)性。由于財(cái)政政策是由經(jīng)營者（或經(jīng)營者）決定，因此我們應(yīng)該注意與企業(yè)資產(chǎn)和運(yùn)營有關(guān)的金融政策的影響。具體來說，我們研究了以前的研究表明的各種特點(diǎn)，并盡可能明確區(qū)分與公司運(yùn)營有關(guān)的風(fēng)險(xiǎn)（即決定經(jīng)

7、濟(jì)的風(fēng)險(xiǎn)因素）和與企業(yè)融資有關(guān)的風(fēng)險(xiǎn)（即財(cái)務(wù)風(fēng)險(xiǎn)的決定因素）。然后，我們使經(jīng)濟(jì)風(fēng)險(xiǎn)成為利蘭和托夫特（1996）模型或者是降低財(cái)務(wù)杠桿的模型中財(cái)政政策的決定性因素。采用結(jié)構(gòu)模型的優(yōu)點(diǎn)是，我們能夠考慮，無論是有關(guān)財(cái)務(wù)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(cái)政政策內(nèi)生性的可能性。我們代理的公司風(fēng)險(xiǎn)是從股票每天回報(bào)率的標(biāo)準(zhǔn)差而得的普通股的收益波動(dòng)性計(jì)算而來。我們代理的經(jīng)濟(jì)風(fēng)險(xiǎn)是用來維護(hù)的公司的業(yè)務(wù)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(cái)產(chǎn)和設(shè)備）代表一個(gè)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

8、業(yè)利潤及其波動(dòng)性可以衡量現(xiàn)金流量的及時(shí)性和存在的風(fēng)險(xiǎn)。要了解公司財(cái)務(wù)風(fēng)險(xiǎn)的影響因素，我們需考察總債務(wù)，債務(wù)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(gè)典型公司經(jīng)濟(jì)風(fēng)險(xiǎn)的決定性因素可以解釋絕大多數(shù)股票的波動(dòng)性變化。相應(yīng)地，隱含的財(cái)務(wù)杠桿遠(yuǎn)遠(yuǎn)比看到的負(fù)債比率低。具體來說，我們?cè)诤w1964年至2008年的樣本中平均實(shí)際凈財(cái)務(wù)（市場）杠桿約為1.50，而我們的估計(jì)值（根據(jù)型號(hào)不同規(guī)格，估計(jì)技術(shù)）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(fēng)險(xiǎn)，從而將有效杠桿降低到幾乎可以忽略不計(jì)的水平。這些政策可能包括動(dòng)態(tài)調(diào)整財(cái)務(wù)變量，如債務(wù)水平，債務(wù)期限，或現(xiàn)金控股（

9、見如阿查里雅，阿爾梅達(dá)，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(wù)合同要求規(guī)定，或在供應(yīng)商合同應(yīng)急費(fèi)用），車輛特殊用途（特殊目的公司）使用明確的金融風(fēng)險(xiǎn)管理技術(shù)，或其他替代風(fēng)險(xiǎn)轉(zhuǎn)移技術(shù)。對(duì)股票波動(dòng)性產(chǎn)生影響的經(jīng)濟(jì)風(fēng)險(xiǎn)因素預(yù)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(quán)會(huì)隨著企業(yè)規(guī)模和年齡的大小而波動(dòng)。這是直觀的，因?yàn)榇笮秃统墒斓钠髽I(yè)通常有反映資本報(bào)酬波動(dòng)的較穩(wěn)定業(yè)務(wù)范圍。資本支出的減少對(duì)股票的波動(dòng)影響較弱。與牧師和韋羅內(nèi)西（2003年）的預(yù)測相一致，我們發(fā)現(xiàn)，具有較高的盈利能力和較低的利潤波動(dòng)性的公司股票的波動(dòng)性較低。這表

10、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(fēng)險(xiǎn)的可能性較小。在所有的經(jīng)濟(jì)風(fēng)險(xiǎn)因素中，公司規(guī)模，利潤波動(dòng)及股利政策對(duì)股票波動(dòng)性的的影響突出。不像以前的一些研究中，我們對(duì)增加總公司杠桿風(fēng)險(xiǎn)的財(cái)政政策的內(nèi)生性精心研究證實(shí)。否則，金融風(fēng)險(xiǎn)與總風(fēng)險(xiǎn)存在不確定的關(guān)系。鑒于大量關(guān)于財(cái)政政策文獻(xiàn)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(jì)風(fēng)險(xiǎn)決定。不過，具體的調(diào)查結(jié)果有些出人意料。例如，在一個(gè)簡單的模型中，資本結(jié)構(gòu)，股利支出會(huì)增加財(cái)務(wù)杠桿，因?yàn)樗鼈兇砹艘粋€(gè)企業(yè)（即增加的凈債務(wù)）的現(xiàn)金流出。我們發(fā)現(xiàn)，股息與低風(fēng)險(xiǎn)有關(guān)。這表明，分紅沒有金融政策和作為一個(gè)公司運(yùn)營特點(diǎn)的產(chǎn)品那么多

11、（例如，有限的增長機(jī)會(huì)成熟的公司）。我們也估計(jì)不同的風(fēng)險(xiǎn)因素隨時(shí)間變化的敏感性不同。我們的研究結(jié)果表明，大多數(shù)關(guān)系都相當(dāng)穩(wěn)定。一個(gè)例外是1983年之前企業(yè)年齡往往與風(fēng)險(xiǎn)是恒定的正相關(guān)關(guān)系，而之后一直與風(fēng)險(xiǎn)持續(xù)負(fù)相關(guān)關(guān)系。這與布朗和卡帕迪亞（2007年）的調(diào)查結(jié)果相吻合，最新趨勢是獨(dú)特性風(fēng)險(xiǎn)與在股票上市的年輕、高風(fēng)險(xiǎn)公司密切相關(guān)。也許最有趣的是我們的分析結(jié)果，過去30年，在隱含的金融杠桿下降的同時(shí)，股票的價(jià)格風(fēng)險(xiǎn)（如獨(dú)特性風(fēng)險(xiǎn)）似乎一直在增加。事實(shí)上，從我們的結(jié)構(gòu)模型來看隱含的財(cái)務(wù)杠桿，在我們的樣本中調(diào)停在近1.0（即無杠桿）。這有幾個(gè)可能的原因。首先，在過去30年，非金融企業(yè)的總負(fù)債率穩(wěn)步下降

12、，所以我們的隱含杠桿也應(yīng)減少。第二，企業(yè)顯著增加現(xiàn)金持有量，這樣，凈債務(wù)（債務(wù)減去現(xiàn)金和短期投資）也有所下降。第三，上市公司的構(gòu)成發(fā)生了變化產(chǎn)生更多的風(fēng)險(xiǎn)（尤其是技術(shù)導(dǎo)向）。這些公司往往在其資本結(jié)構(gòu)中債務(wù)較少。第四，如上所述，企業(yè)可以進(jìn)行金融風(fēng)險(xiǎn)管理的各種活動(dòng)。只要這些活動(dòng)在過去幾十年中有上升幅度，企業(yè)將成為受到金融風(fēng)險(xiǎn)因素影響較少的對(duì)象。我們進(jìn)行一些額外的測試，我們的結(jié)果提供了實(shí)證研究。首先，我們重復(fù)同一個(gè)簡化式模型，估計(jì)強(qiáng)加的最低結(jié)構(gòu)剛性，找到我們非常相似的分析結(jié)果。這表明我們的結(jié)果是不太可能受模型假設(shè)錯(cuò)誤的驅(qū)動(dòng)。我們也比較所有美國非金融公司的總債務(wù)水平與業(yè)績的趨勢，并找到與我們的結(jié)論相一

13、致的證據(jù)。最后，我們看看過去三年經(jīng)濟(jì)衰退的各地上市非金融公司破產(chǎn)的文件，并找到證據(jù)表明，這些企業(yè)正越來越多地受到經(jīng)濟(jì)危機(jī)而不是金融危機(jī)影響的觀點(diǎn)?？傊?，我們的結(jié)果表明，從實(shí)際來看，剩余的財(cái)務(wù)風(fēng)險(xiǎn)對(duì)現(xiàn)在典型的美國公司來說相對(duì)不重要。這就是對(duì)財(cái)務(wù)成本水平預(yù)期問題，因?yàn)榘l(fā)生財(cái)務(wù)危機(jī)的可能性有可能低于大多數(shù)公司的一般可能性。例如，我們的結(jié)果表明，如果不考慮隱含的財(cái)務(wù)杠桿（如迪切夫，1998年）的趨勢，將會(huì)對(duì)風(fēng)險(xiǎn)債券的系統(tǒng)性定價(jià)水平估計(jì)可能有偏差。我們的研究結(jié)果也質(zhì)疑用以估計(jì)違約概率的金融模式是否恰當(dāng)，因?yàn)?，可能難以通過觀察實(shí)施大幅降低風(fēng)險(xiǎn)的財(cái)政政策。最后，我們的研究結(jié)果意味著，由資本產(chǎn)生的基本風(fēng)險(xiǎn)主要

14、與資本的有效配置產(chǎn)生的潛在經(jīng)濟(jì)風(fēng)險(xiǎn)有關(guān)。在開始之前我們先評(píng)論一下我們分析的潛在觀點(diǎn)。一些讀者可能想將其解釋為我們的結(jié)果表明財(cái)務(wù)風(fēng)險(xiǎn)并不重要。這不是正確的解釋。相反，我們的結(jié)果表明，企業(yè)可以管理財(cái)務(wù)風(fēng)險(xiǎn)，使股東承擔(dān)較低的經(jīng)濟(jì)風(fēng)險(xiǎn)。當(dāng)然，財(cái)務(wù)風(fēng)險(xiǎn)對(duì)企業(yè)來講非常重要，只是選擇承擔(dān)高負(fù)債水平或缺乏管理風(fēng)險(xiǎn)的不同罷了。相比之下，我們的研究表明，典型的非金融類公司選擇不采取這些風(fēng)險(xiǎn)?？傊?cái)務(wù)總風(fēng)險(xiǎn)可能是重要的，但公司可以管理它。與此相反，基本的經(jīng)濟(jì)和商業(yè)風(fēng)險(xiǎn)更難以（或不受歡迎）預(yù)防，因?yàn)樗麄兛梢源頇C(jī)制，使企業(yè)贏得經(jīng)濟(jì)效益。下面本文進(jìn)行條理分析。動(dòng)機(jī)，相關(guān)文獻(xiàn)，和假設(shè)在第2節(jié)進(jìn)行回顧。第3節(jié)描述了我們使

15、用的模型，接著在第4節(jié)對(duì)其數(shù)據(jù)進(jìn)行介紹。利蘭-托夫特模型的實(shí)證結(jié)果列在第5節(jié)。第6節(jié)根據(jù)簡化模型討論了美國無金融因素的債務(wù)總額數(shù)據(jù)，以及在過去25年對(duì)破產(chǎn)申請(qǐng)的分析估計(jì)；并作總結(jié)。2 動(dòng)機(jī)，相關(guān)文獻(xiàn)，并假設(shè)研究公司風(fēng)險(xiǎn)及其影響因素對(duì)金融的所有領(lǐng)域來說是非常重要的。在有關(guān)企業(yè)融資的文獻(xiàn)中，企業(yè)的風(fēng)險(xiǎn)對(duì)優(yōu)化資本結(jié)構(gòu)，資產(chǎn)置換的代理成本的各種基本問題產(chǎn)生直接影響。同樣，公司風(fēng)險(xiǎn)的特點(diǎn)是所有資產(chǎn)定價(jià)模型中的基本因素。企業(yè)融資的文獻(xiàn)往往與金融風(fēng)險(xiǎn)相關(guān)的市場缺陷密切聯(lián)系。在莫迪利亞尼米勒（1958年）的框架內(nèi)，金融風(fēng)險(xiǎn)（或更一般的財(cái)政政策）是無關(guān)緊要的，因?yàn)橥顿Y者可以自行了解公司的財(cái)務(wù)決策。因此，運(yùn)作良好

16、的資本市場應(yīng)該能夠區(qū)分金融危機(jī)和經(jīng)濟(jì)破產(chǎn)。例如，安德拉德和卡普蘭（1998）通過分析高杠桿交易仔細(xì)區(qū)分了金融和經(jīng)濟(jì)困境成本，最終發(fā)現(xiàn)財(cái)務(wù)困境成本對(duì)公司子集來說是很小的，所以是一個(gè)不會(huì)經(jīng)歷“經(jīng)濟(jì)”沖擊的。他們的結(jié)論是財(cái)務(wù)困境成本對(duì)典型企業(yè)來說應(yīng)該很小或微不足道?？ㄆ仗m和斯坦因（1990）分析高杠桿交易發(fā)現(xiàn)，繼資本結(jié)構(gòu)調(diào)整之后股本驚奇的增加。對(duì)金融政策進(jìn)行的辯論繼續(xù)進(jìn)行，但是，沒有處理財(cái)務(wù)杠桿驅(qū)動(dòng)公司整體風(fēng)險(xiǎn)的相關(guān)性。我們的研究將從這個(gè)角度進(jìn)行辯論。相應(yīng)地，將公司風(fēng)險(xiǎn)分解成金融和經(jīng)濟(jì)風(fēng)險(xiǎn)是我們研究的核心。企業(yè)風(fēng)險(xiǎn)管理研究表明財(cái)務(wù)風(fēng)險(xiǎn)的作用明確為企業(yè)研究的動(dòng)機(jī)進(jìn)行對(duì)沖活動(dòng)。特別是對(duì)沖理論認(rèn)為企業(yè)受不

17、完善資本市場中存在的積極匯價(jià)變動(dòng)的影響。這些措施可能包括有關(guān)資產(chǎn)替代投資不足或代理費(fèi)用（見貝賽蔓，1991，延森and梅克林，1976，邁爾斯，1977，弗羅，沙爾夫斯泰因，和斯坦因，1993），破產(chǎn)成本和稅收（史密斯和施特爾茨，1985），以及管理風(fēng)險(xiǎn)厭惡（施特爾茨，1990）。然而，企業(yè)風(fēng)險(xiǎn)管理文獻(xiàn)一般不解決企業(yè)風(fēng)險(xiǎn)，所以其一直是資產(chǎn)定價(jià)系統(tǒng)定價(jià)的主要焦點(diǎn)。林特納（1965）和夏普（1964）在多變的框架中定義了局部均衡的風(fēng)險(xiǎn)定價(jià)。在這種結(jié)構(gòu)中，總風(fēng)險(xiǎn)分解為系統(tǒng)性風(fēng)險(xiǎn)和個(gè)別風(fēng)險(xiǎn)，系統(tǒng)風(fēng)險(xiǎn)，只包含一個(gè)無通脹的市場價(jià)格。然而，坎貝爾（2001年）發(fā)現(xiàn)，在過去四十年來公司特定風(fēng)險(xiǎn)已大幅增加，且各

18、種研究已發(fā)現(xiàn)，個(gè)別風(fēng)險(xiǎn)是價(jià)格因素（戈亞爾和圣克拉拉，2003，海德里克，2006）。研究確定各個(gè)企業(yè)的特點(diǎn)（即，工業(yè)增長速度，機(jī)構(gòu)持股，平均企業(yè)規(guī)模，成長期權(quán)，企業(yè)年齡，風(fēng)險(xiǎn)和盈利能力）與企業(yè)特有的風(fēng)險(xiǎn).最近有關(guān)研究也研究了股票價(jià)格風(fēng)險(xiǎn)對(duì)財(cái)務(wù)困境成本的影響（戈亞爾和塔斯勒，2003，阿爾梅達(dá)和菲利蓬，2007，等等）。同樣的，基本的經(jīng)濟(jì)風(fēng)險(xiǎn)已被證明和股票風(fēng)險(xiǎn)因素相關(guān)（見，例如，維塞利亞，2003，和引文文獻(xiàn)）。理查森（2009）使用債務(wù)層面上的數(shù)據(jù)研究公司資產(chǎn)波動(dòng)性，最終發(fā)現(xiàn)資產(chǎn)的波動(dòng)表現(xiàn)出巨大的時(shí)間序列變化以及金融杠桿對(duì)股權(quán)的波動(dòng)有重大影響。The Important Of Financia

19、l Risk作者：Sohnke M. Bartram, Gregory W. Brown, and Murat Atamer起止頁碼：1-7出版日期（期刊號(hào)）：September 2009,Vol. 2, No. 4(Serial No. 11)出版單位：Theory and Decision, DOI 10.1007/s11238-005-4590-0Abstract：This paper examines the determinants of equity price risk for a large sample of non-financial corporations in the

20、 United States from 1964 to 2008. We estimate both structural and reduced form models to examine the endogenous nature of corporate financial characteristics such as total debt, debt maturity, cash holdings, and dividend policy. We find that the observed levels of equity price risk are explained pri

21、marily by operating and asset characteristics such as firm age, size, asset tangibility, as well as operating cash flow levels and volatility. In contrast, implied measures of financial risk are generally low and more stable than debt-to-equity ratios. Our measures of financial risk have declined ov

22、er the last 30 years even as measures of equity volatility (e.g. idiosyncratic risk) have tended to increase. Consequently, documented trends in equity price risk are more than fully accounted for by trends in the riskiness of firms assets. Taken together, the results suggest that the typical U.S. f

23、irm substantially reduces financial risk by carefully managing financial policies. As a result, residual financial risk now appears negligible relative to underlying economic risk for a typical non-financial firm.Keywords：Capital structure； financial risk； risk management；corporate finance1 Introduc

24、tionThe 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, evidence indicates that excessive leverage orche

25、strated 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 financial leverage among nonfinancial firms. To d

26、ate, 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 economic decline is the largest since the great depressio

27、n 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 surprising fact begs the question, “How important is

28、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.Recent academic research in both asset pricing and corporate finance has rekindled an interest in analyzing equity price risk. A current

29、 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 (see Goyal and Santa-Clara, 2003, among others). Also

30、related to these studies is work by Pástor 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 in bond pricing (e.g., Dichev, 1998, Campbell, Hil

31、scher, 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 equity price risk. First, we seek to understand the

32、 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). Second, we attempt to assess the relative impor

33、tance 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 decisions by the firm at a low cost (i.e., via homemad

34、e 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 research on corporate risk management suggests th

35、at 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 market imperfections associated with financial levera

36、ge. 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 our analysis we utilize a large sample of non-finan

37、cial 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, throughout the paper, we consider financial leverage as

38、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 to examine the effects of firms asset and operat

39、ing 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 determining economic risk) and those associated with financ

40、ing 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 advantage of the structural model approach is that we

41、 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 volatility of common stock returns derived from calcula

42、ting 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 size and age provide measures of line of- busine

43、ss 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 serve as measures of the timeliness and riskiness of

44、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 risk for a typical company explain the vast majorit

45、y 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 compared to our estimates of between 1.03 and 1.11 (d

46、epending 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 adjusting financial variables such as debt level

47、s, 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 investors (e.g. lines of credit, call provisions in

48、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 predicted signs. In addition, the magnitudes of t

49、he 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 equity returns. Equity volatility tends to decrease w

50、ith capital expenditures though the effect is weak. Consistent with the predictions of Pástor and Veronesi (2003), we find that firms with higher profitability and lower profit volatility have lower equity volatility. This suggests that companies with higher and more stable operating cash flows

51、 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 the endogeneity of financial policy confir

52、ms 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 risks firms take. However, some of the spec

53、ific 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 with lower risk. This suggests that paying div

54、idends 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 indicate that most relations are fairly stable. O

55、ne 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 stock listings by younger and riskier firms.

56、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 fact, measures of implied financial levera

57、ge 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 leverage should also decline. Second, firm

58、s 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 becoming publicly listed. These firms tend to have

59、 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 financial 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