论财务危机的重要性 英文+翻译
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论财务危机的重要性译文:摘 要:本文研究了从 1964 年到 2008 年美国大型非金融企业股票价格风险的决定性因素。我们通过估计有关结构以及简单化了的模型来检验企业内的财务风险,如负债总额,负债到期日,现金持有量,及股利政策等。我们发现,被观察的股票价格风险水平主要通过经营和资产特性,如企业年龄,规模,有形资产来体现,经营性现金流及其波动的水平也是同样。相反的是,企业所潜在的财务风险措施普遍偏低,而且比产权比率稳定。我们对财务风险采取的措施在过去 30 年有所减少,然而对股票波动(如特性风险)采取的措施却逐渐增加。因此,在文献记载中股票价格风险的变化趋势比公司的资产风险趋势更具有代表性。综合看来,结果表明典型的美国公司通过小心的财务管理措施降低了财务风险。因而,现在看来微不足道的剩余财务风险是一个典型的非金融公司相对潜在的经济风险。关键词:资本结构;财务风险;风险管理;企业筹资1 绪论2008 年的金融危机使人们重视金融杠杆作用的重大影响。毫无疑问,向金融机构的巨额债务融资和内部融资均有风险。事实上,证据显示,全主要全球性银行过高的杠杆策划(如抵押贷款和担保债务)和所谓的“影子银行系统”可能是最近的经济和金融混乱的根本原因。非金融企业的财务杠杆作用是不太明显的。到今天为止,尽管资本市场的规模处于困境中,美国非金融部门的问题相比金融业的困境来说显得微不足道。例如,非金融企业破产仅限于自 20 世纪 30 年代大萧条以来的最大经济衰退。事实上,非金融公司申请破产的事件大都发生在美国金融危机之前面临基本经济压力各行业(如汽车制造业,报纸,房地产)。这令人惊讶的事实引出了一个问题 “对非金融公司而言的财务风险有多重要?”。这个问题的核心是关于公司的总的风险以及公司风险组成部分的各决定因素的不确定性。最近在资产定价和企业融资方面的学术研究再度引发的对分析股票价格风险利率的兴趣。一系列的资产定价文献探考证了卡贝尔等人(2001)的发现。他们认为在过去 40 年中,公司特性(特有)风险有增加的趋势。有关研究显示,个别风险可能是影响价格风险的一个因素(见格雅尔和克雷拉,2003 年)。与之相关的是帕斯特罗和维罗丽斯的研究成果(2003 年),他们认为投资者对企业盈利能力的不确定性是其影响特有风险和公司价值的重要因素。其他研究(如迪切夫,1998 年,卡贝尔,希尔舍,和西拉吉,2008)已经研究了股票波动性在债券价格中的作用。然而,股票价格风险实证研究的大部分工作需要涉及了已有的资产风险或试图解释特有风险的趋势。相反的是,本文从不同的角度研究股票价格风险。首先,我们通过在公司经营中相关产品固有的风险(即,经济或商业风险)来考虑为企业融资业务的风险,和企业运营有关的财务风险(即,金融风险)。第二,我们将评估经济和财务风险的相关重要性以及对金融政策的影响。莫迪哥亚尼和米勒逖早期的研究(1958)认为,金融政策可能在很大程度上与公司价值无关,因为投资者可以通过咨询许多金融公司最终以较低的成本投资(即,通过自制杠杆)同时发展成熟的资本市场应该可以分散金融危机和经济危机。尽管如此,如增加债务资本结构之类的金融政策会扩大财务风险。相反,最近对企业风险管理的研究表明,企业通过发行金融衍生品也就能够降低企业风险和增加企业价值。然而,这项研究的动机通常是与金融危机有关的巨额成本或其他相关费用和与财务杠杆有关的市场缺陷。实证研究提供了金融危机如何侵蚀一家典型上市公司的巨额帐户有冲击力的数据。我们试图通过直接处理公司风险因素来分析整体经济和金融风险的作用。在分析的过程中,我们使用了美国非金融公司的大样本。我们试图确定影响股票价格风险的最重要决定因素(波动性)的目标依赖于将融资政策看成通过财务杠杆将资产转化为股权。例如,在一个静态环境中债务放大了经营性现金波动提供了财务杠杆。由于财政政策是由业主(经理)决定,我们特别注意与公司的资产和财政政策上的经营特色的影响。具体来说,我们研究了以前的研究表明的各种特点,并尽可能清晰地区分那些与该公司运营有关的风险(即决定经济的风险因素)及与企业融资有关的风险(即财务风险的决定性因素)。然后,我们使经济风险成为利兰和托夫特(1996)模型在降低财务杠杆模型中财政政策的决定因素。采用结构模型的优点是,我们能够解释有关财务及经营问题的一些可能性因素(如分红)以及破产决定和为内部财政政策的内生性。我们代理的公司风险是从每天的股本回报率标准差波动而得到的的普通股的收益计算而来。我们代理的经济风险是针对公司经营中的必要因素以及那些决定公司现金流产生过程的资产。例如,企业规模和年龄可以衡量企业的成熟度;有形资产(厂房,财产和设备)代表一个公司的“硬件”;资本支出衡量资本密集度以及发展潜力。营业利润及其波动性可以衡量现金流量的及时性及现金流量风险。为了了解公司财务风险的影响因素,我们研究总债务,债务到期日,派息,持有的现金和短期投资。我们分析的主要结果是令人吃惊的:一个典型公司经济风险的决定性因素可以解释绝大多数股票价值的波动性变化。相应地,隐含的财务杠杆措施远远比看到的负债比率低。具体来说,我们在涵盖 1964 年至 2008 年的样本中平均实际净财务(市场)杠杆约为 1.50,而我们的估计值(依据型号不同规格,估计技术)在 1.03和 1.11 之间。这表明,企业可能采取其他融资政策来管理金融风险,从而将有效杠杆降低到几乎可以忽略不计的水平。这些政策可能包括动态调整财务变量,如债务水平,债务期限,或减持套现(例如阿查里雅,阿尔梅达,卡佩罗,2007 年)。此外,许多企业还利用明确的金融风险管理技术,如利用金融衍生工具,与投资者的合同安排(例如信贷额度,债务合同要求规定,或在供应商合同的突发事件),特殊用途车辆(特殊目的公司),或其他替代风险转移技术。股票波动性上的经济风险因素影响通常非常重要,显著。此外,影响的幅度也是很大的。我们发现,股权波动会随着企业规模和年龄的大小而减少。这是直观的,因为大型和成熟的企业通常有较稳定的业务范围,它会反映在资本报酬波动中。对股票的波动随着资本支出而减弱,但它的影响往往较弱。与帕斯特罗和韦罗内西(2003 年)的预测相一致,我们发现,具有较高的盈利能力和较低的利润波动性的公司股票的波动性较低。这表明,有更高,更稳定的经营性现金流的公司不太可能破产,因此存在更少的潜在风险。在所有经济风险因素中,企业规模,利润波动及股利政策对股票波动性的的影响脱颖而出。不像以前的一些研究中,我们对增加总公司杠杆风险的财政政策的内生性进行了精心研究证实。否则,金融风险与总风险存在不确定关系。鉴于大量有关财政政策文献的研究,毫不奇怪,至少部分金融变量是由企业存在的经济风险决定的。不过,一些具体的调查结果有些出乎意料。例如,在一个简单的资本模型中,因为股利支出代表了一个企业(即增加的净债务)的现金流出,它们会增加财务杠杆。我们发现,股息与低风险有关。这表明,分红没有金融政策和作为一个公司运营特点的产品那么多(例如,有限的增长机会成熟的公司)。同时我们估计不同的风险因素随时间变化的敏感性是不同的。我们的研究结果表明,大多数关系都相当稳定。一个例外是 1983 年之前企业年龄往往与风险是一直是正相关关系,而之后一直与风险持续负相关关系。这与布朗和卡帕迪亚(2007 年)的调查结果相吻合,在年青的高风险公司中独特性风险的最新趋势是与股票上市年密切相关。我们分析中最有意思的结果可能就是在过去的三十年里,我们对隐含财务杠杆作用的估量已经减少。与此同时,对股票价格风险的估量似乎已经正在增加。实际上,在我们抽样结束时,来源于我们结构模型中的隐含财务杠杆作用的估量接近1.0(即没有杠杆作用)。对此,有几种可能的原因。第一,在过去的三十年里,非金融企业的总负债比率已经平稳下降,所以我们对隐形杠杆作用的估量也应该是减少的。第二,公司已经很大程度上增加了现金持有量,所以负债净额(负债减去现金再减去短期投资)的估量也应该是减少的。第三,随着更具风险性的(尤其是技术指向型)公司变成上市公司,公开上市的公司的构成已经发生了变化。这些公司在他们的资产结构中易于拥有更少的负债。第四,正如上面提及的,公司能够承担各种各样的金融风险管理活动。在某种程度上,这些活动在过去的几十年里已经增加,公司将更少地遭受金融风险因素的影响我们进行一些额外的测试,我们的结果提供了实证研究。首先,我们重复同一个简化式模型,估计强加的最低结构刚性,找到我们非常相似的分析结果。这表明我们的结果是不太可能受模型假设错误的驱动。我们也比较所有美国非金融公司的总债务水平与业绩的趋势,并找到与我们的结论相一致的证据。最后,我们看看过去三年经济衰退的各地上市非金融公司破产的文件,并找到证据表明,这些企业正越来越多地受到经济危机而不是金融危机影响的观点。总之,我们的结果表明,从实际来看,剩余的财务风险对现在典型的美国公司来说相对不重要。这就是对财务成本水平预期问题,因为发生财务危机的可能性有可能低于大多数公司的一般可能性。例如,我们的结果表明,如果不考虑隐含的财务杠杆(如迪切夫,1998 年)的趋势,将会对风险债券的系统性定价水平估计可能有偏差。我们的研究结果也质疑用以估计违约概率的金融模式是否恰当,因为,可能难以通过观察实施大幅降低风险的财政政策。最后,我们的研究结果意味着,由资本产生的基本风险主要与资本的有效配置产生的潜在经济风险有关。How Important is Financial Risk?Sohnke M.Bartram,Gregory W.Brown,and Murat ATAMER Abstract:This pxamine 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 primarily by operating and asset characteristics such as firm age, size, asset tangibility, as well as operating cash flow levels and volatility. In contrast, implied maper examines the determinants of equity price risk for a large sample of non-financial corporations in the United States from 1964 to 2008. We estimate both structural and reduced form models to eeasures of financial risk are generally low and more stable than debt-to-equity ratios. Our measures of financial risk have declined over 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. firm 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 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, 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 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 economic 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 surprising 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.Recent academic research in both asset pricing and corporate finance has rekindled 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 (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 in 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 equity 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). 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 decisions 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 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 market 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 our 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, throughout 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 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 determining 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 advantage 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 volatility 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 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 serve 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 risk 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 compared 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 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 investors (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 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 equity 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 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 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 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 with 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 indicate 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 stock 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 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 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 becoming 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 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 similar results. This indicates that our results are unlikely to be driven 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 recessions and find evidence suggesting that these firms are increasingly being affected by economic distress as opposed to financial distress.In short, our results suggest that, as a practical matter, residual financial risk is now relatively unimportant for the typical U.S. firm. This raises 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 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, 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.Before proceeding we address a potential comment about our analysis. Some readers may be tempted to interpret our results as indicating that financial risk does not matter. This is not the 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 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) to hedge because they represent the mechanism by which the firm earns economic profits.The paper is organized at follows. Motivation, related literature, and hypotheses are reviewed in Section 2. Section 3 describes the models we employ followed by a description of the data in Section 4. Empirical results for the Leland-Toft model are presented in Section 5. Section 6 considers estimates from the reduced form model, aggregate debt data for the no financial sector in the U.S., and an analysis of bankruptcy filings over the last 25 years. Section 6 concludes.2 Motivation, Related Literature, and HypothesesStudying firm risk and its determinants is important for all areas of finance. In the corporate finance literature, firm risk has direct implications for a variety of fundamental issues ranging from optimal capital structure to the agency costs of asset substitution. Likewise, the characteristics of firm risk are fundamental factors in all asset pricing models.The corporate finance literature often relies on market imperfections associated with financial risk. In the Modigliani Miller (1958) framework, financial risk (or more generally financial policy) is irrelevant because investors can replicate the financial decisions of the firm by themselves. Consequently, well-functioning capital markets should be able to distinguish between frictionless financial distress and economic bankruptcy. For example,- 配套讲稿:
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