财务管理外文资料翻译01.docx
《财务管理外文资料翻译01.docx》由会员分享,可在线阅读,更多相关《财务管理外文资料翻译01.docx(10页珍藏版)》请在冰豆网上搜索。
财务管理外文资料翻译01
毕业设计(论文)外文资料翻译
系别:
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).AlsorelatedtothesestudiesisworkbyPástorandVeronesi(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.ConsistentwiththepredictionsofPástorandVeronesi(2003),wefindthatfirmswithhigherprofitabilityandlowerprofitvolatilityhavelowerequityvolatility.Thissuggeststhatcompanieswithhigherandmorestableoperatingcashflowsarelesslikelytogobankrupt,andthereforearepotentiallylessrisky.Amongeconomicriskvariables,theeffectsoffirmsize,profitvolatility,anddividendpolicyonequityvolatility