財(cái)務(wù)管理外文資料翻譯---財(cái)務(wù)風(fēng)險(xiǎn)的重要性

1、<p>　　畢業(yè)設(shè)計(jì)(論文)外文資料翻譯</p><p>　　系 別： 管理信息系 </p><p>　　專 業(yè)： 財(cái)務(wù)管理 </p><p>　　班 級(jí)：

2、 </p><p>　　姓 名： </p><p>　　學(xué) 號(hào)： </p><p>　　外文出處： Theory and Decision </p

3、><p>　　附 件： 1. 原文； 2. 譯文 </p><p>　　How Important is Financial Risk?</p><p>　　作者：Sohnke M. Bartram, Gregory W. Brown, and Murat Atamer</p><p><b>　　起止頁(yè)碼：1

4、-7</b></p><p>　　出版日期（期刊號(hào)）：September 2009,Vol. 2, No. 4(Serial No. 11)</p><p>　　出版單位：Theory and Decision, DOI 10.1007/s11238-005-4590-0</p><p>　　Abstract：This paper examines th

5、e 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 examine the endogenous nature of corpora

6、te 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 suc

7、h as firm age, size, asset ta</p><p>　　Keywords：Capital structure； financial risk； risk management；corporate finance</p><p>　　Introduction</p><p>　　The financial crisis of 2008 has

8、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, evide

9、nce 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 t

10、he recent economic and fina</p><p>　　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 liter

11、ature 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 Goy

12、al and Santa-Clara, 2003, among others). Also related to these studies is work by Pástor and Veronesi (2003) s</p><p>　　However, much of the empirical work examining equity price risk takes the risk of

13、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

14、 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</p><p>　

15、　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 homema

16、de 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

17、 of equity. In contrast, recent research on corporate risk ma</p><p>　　We attempt to directly address the roles of economic and financial risk by examining determinants of total firm risk. In our analysis we

18、 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 vola

19、tility into equity volatility via financial leverage. Thus, throughout the paper, we consider financial leverage as the wedge between asset vola</p><p>　　Our proxy for firm risk is the volatility of common s

20、tock 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

21、 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 fir

22、m’s ass</p><p>　　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, me

23、asures 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 betw

24、een 1.03 and 1.11 (depending on model specification and estimation technique). This sugges</p><p>　　The effects of our economic risk factors on equity volatility are generally highly statistically significan

25、t, 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

26、 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 </p><p>　　Given the large literatu

27、re 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

28、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 sugge

29、sts that paying dividends is not as </p><p>　　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 th

30、at 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 ou

31、r sample. There are several possible reasons for this. First, total debt ratios for non-financial firms have declined s</p><p>　　We conduct some additional tests to provide a reality check of our results. Fi

32、rst, 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 misspecif

33、ication. 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 publi</p><p&

34、gt;　　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

35、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

36、 they do not take into account the trend in implied financial lev</p><p>　　Before proceeding we address a potential comment about our analysis. Some readers may be tempted to interpret our results as indicat

37、ing 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

38、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 </p><p>　　The paper is organized at follows. Motivation, re

39、lated 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 Sectio

40、n 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.</p>&

41、lt;p>　　2 Motivation, Related Literature, and Hypotheses</p><p>　　Studying firm risk and its determinants is important for all areas of finance. In the corporate finance literature, firm risk has direct i

42、mplications 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 mo

43、dels.</p><p>　　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 pol

44、icy) 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 a

45、nd economic bankruptcy. For example, Andrade and Kaplan (1998) carefully distinguish bet</p><p>　　The ongoing debate on financial policy, however, does not address the relevance of financial leverage as a dr

46、iver of the overall riskiness of the firm. Our study joins the debate from this perspective. Correspondingly, decomposing firm risk into financial and economic risks is at the heart of our study.</p><p>　　Re

47、search in corporate risk management examines the role of total financial risk explicitly by examining the motivations for firms to engage in hedging activities. In particular, theory suggests positive valuation effects o

48、f corporate hedging in the presence of capital market imperfections. These might include agency costs related to underinvestment or asset substitution (see Bessembinder, 1991, Jensen and Meckling, 1976, Myers, 1977, Froo

49、t, Scharfstein, and Stein,1993), bankruptcy costs and taxe</p><p>　　Lintner (1965) and Sharpe (1964) define a partial equilibrium pricing of risk in a mean variance framework. In this structure, total risk i

50、s decomposed into systematic risk and idiosyncratic risk, and only systematic risk should be priced in a frictionless market. However, Campbelletal (2001) find that firm-specific risk has increased substantially over the

51、 last four decades and various studies have found that idiosyncratic risk is a priced factor (Goyal and Santa Clara,2003, Ang, Hodrick, Xing,</p><p>　　How Important is Financial Risk?</p><p><

52、;b>　　財(cái)務(wù)風(fēng)險(xiǎn)的重要性</b></p><p>　　作者：Sohnke M. Bartram, Gregory W. Brown, and Murat Atamer</p><p><b>　　起始頁(yè)碼：1-7</b></p><p>　　出版日期（期刊號(hào)）：September 2009,Vol. 2, No. 4(Ser

53、ial No. 11)</p><p>　　出版單位：Theory and Decision, DOI 10.1007/s11238-005-4590-0</p><p><b>　　外文翻譯譯文：</b></p><p>　　摘 要：本文探討了美國(guó)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(guò)相關(guān)結(jié)構(gòu)以及簡(jiǎn)化模型

54、，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(guò)經(jīng)營(yíng)和資產(chǎn)特點(diǎn)，如企業(yè)年齡，規(guī)模，有形資產(chǎn)，經(jīng)營(yíng)性現(xiàn)金流及其波動(dòng)的水平來(lái)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(guò)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(shì)比公司的資產(chǎn)風(fēng)險(xiǎn)趨勢(shì)更具代表性。綜合二者，結(jié)果表明，典型的美國(guó)公司謹(jǐn)慎管理的財(cái)政政策大

55、大降低了財(cái)務(wù)風(fēng)險(xiǎn)。因此，現(xiàn)在看來(lái)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)。</p><p>　　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</p><p><b>　　1 緒論</b></p><p>　　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(wú)疑問(wèn)，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)

56、表明，全球主要銀行精心策劃的杠桿（如通過(guò)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(chǎng)已困在危機(jī)中，美國(guó)非金融部門的問(wèn)題相比金融業(yè)的困境來(lái)說(shuō)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(lái)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(guó)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。

57、這令人驚訝的事實(shí)引出了一個(gè)問(wèn)題 “非金融公司的財(cái)務(wù)風(fēng)險(xiǎn)是如何重要？”。這個(gè)問(wèn)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。</p><p>　　最近在資產(chǎn)定價(jià)和企業(yè)融資再度引發(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(guò)去的40年，公司特定（特有）的風(fēng)險(xiǎn)有增加的趨勢(shì)。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(jiàn)戈亞爾和克萊拉，

58、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。</p><p>　　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(shì)。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(guò)在公司經(jīng)營(yíng)中有關(guān)

59、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(lái)考慮為企業(yè)融資業(yè)務(wù)風(fēng)險(xiǎn)，和企業(yè)運(yùn)營(yíng)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。</p><p>　　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(wú)關(guān)，因?yàn)橥顿Y者可以通過(guò)咨詢?cè)S多金融公司最終以較低的成本入資（即，通過(guò)自制的杠桿）同時(shí)運(yùn)作良好的資本市場(chǎng)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

60、，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(guò)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)的巨額成本或其他相關(guān)費(fèi)用和與財(cái)務(wù)杠桿有關(guān)的市場(chǎng)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。</p><p>　　我們?cè)噲D通過(guò)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(guò)程中，我們利用了美國(guó)非金融公司

61、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(guò)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(yíng)者（或經(jīng)營(yíng)者）決定，因此我們應(yīng)該注意與企業(yè)資產(chǎn)和運(yùn)營(yíng)有關(guān)的金融政策的影響。具體來(lái)說(shuō)，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(yíng)有關(guān)的風(fēng)險(xiǎn)（即決定經(jīng)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)

62、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(wú)論是有關(guān)財(cái)務(wù)及經(jīng)營(yíng)問(wèn)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。</p><p>　　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(lái)。我們代理的經(jīng)濟(jì)風(fēng)險(xiǎn)是用來(lái)維護(hù)的公司的業(yè)務(wù)和資產(chǎn)，確定產(chǎn)生的現(xiàn)金

63、流量的過(guò)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(kāi)支衡量資本密集度以及企業(yè)發(fā)展?jié)摿?。營(yíng)業(yè)利潤(rùn)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。</p><p>　　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

64、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(lái)說(shuō)，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(chǎng)）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（見(jiàn)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

65、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)。</p><p>　　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(cè)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

66、票的波動(dòng)影響較弱。與牧師和韋羅內(nèi)西（2003年）的預(yù)測(cè)相一致，我們發(fā)現(xiàn)，具有較高的盈利能力和較低的利潤(rùn)波動(dòng)性的公司股票的波動(dòng)性較低。這表明，有更高，更穩(wěn)定的經(jīng)營(yíng)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(rùn)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。</p>

67、<p>　　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(guò)，具體的調(diào)查結(jié)果有些出人意料。例如，在一個(gè)簡(jiǎn)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(méi)有金融政策和作為一個(gè)公司運(yùn)營(yíng)特點(diǎn)的產(chǎn)品那么多（例如，有限的增長(zhǎng)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

68、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(shì)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)。</p><p>　　也許最有趣的是我們的分析結(jié)果，過(guò)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(lái)看隱含的財(cái)務(wù)杠桿，在

69、我們的樣本中調(diào)停在近1.0（即無(wú)杠桿）。這有幾個(gè)可能的原因。首先，在過(guò)去30年，非金融企業(yè)的總負(fù)債率穩(wěn)步下降，，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(guò)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

70、較少的對(duì)象。</p><p>　　我們進(jìn)行一些額外的測(cè)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(jiǎn)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(guó)非金融公司的總債務(wù)水平與業(yè)績(jī)的趨勢(shì)，并找到與我們的結(jié)論相一致的證據(jù)。最后，我們看看過(guò)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(lái)越多地受到經(jīng)濟(jì)危機(jī)而不

71、是金融危機(jī)影響的觀點(diǎn)。</p><p>　　總之，我們的結(jié)果表明，從實(shí)際來(lái)看，剩余的財(cái)務(wù)風(fēng)險(xiǎn)對(duì)現(xiàn)在典型的美國(guó)公司來(lái)說(shuō)相對(duì)不重要。這就是對(duì)財(cái)務(wù)成本水平預(yù)期問(wèn)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(shì)，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(guò)觀

72、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)。</p><p>　　在開(kāi)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(lái)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

73、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。</p><p>　　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(jiǎn)化模型討論了美國(guó)

74、無(wú)金融因素的債務(wù)總額數(shù)據(jù)，以及在過(guò)去25年對(duì)破產(chǎn)申請(qǐng)的分析估計(jì)；并作總結(jié)。</p><p>　　2 動(dòng)機(jī)，相關(guān)文獻(xiàn)，并假設(shè)</p><p>　　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(lái)說(shuō)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(wèn)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。</p><p>

75、;　　企業(yè)融資的文獻(xiàn)往往與金融風(fēng)險(xiǎn)相關(guān)的市場(chǎng)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(wú)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)作良好的資本市場(chǎng)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(guò)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(lái)說(shuō)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(lái)說(shuō)應(yīng)該很

76、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。</p><p>　　對(duì)金融政策進(jìn)行的辯論繼續(xù)進(jìn)行，但是，沒(méi)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。</p><p>　　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

77、業(yè)受不完善資本市場(chǎng)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(jiàn)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)。</p><p>　　林特納（1965）和夏普

78、（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(wú)通脹的市場(chǎng)價(jià)格。然而，坎貝爾（2001年）發(fā)現(xiàn)，在過(guò)去四十年來(lái)公司特定風(fēng)險(xiǎn)已大幅增加，且各種研究已發(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(zhǎng)速度，機(jī)構(gòu)持股，平均企業(yè)規(guī)模，成長(zhǎng)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