外文文献及中文翻译：财务风险的重要性HowImportantisFinancialRisk

1、外文资料翻译英文原文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. 译文：财务风险的重要性引言2008年的金融危机对金融杠杆的作用产生重大影响。毫无疑问，向金

48、融机构的巨额举债和内部融资均有风险。事实上，有证据表明，全球主要银行精心策划的杠杆（如通过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。财务杠杆在非金融企业的作用不太明显。迄今为止，尽管资本市场已困在危机中，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，非金融企业破产机遇仅限于自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各行业（如汽车制造业，报纸，房地产）所面临的基本经济压力即金融危机之前。这令人惊讶的事实引出了一个问题 “非金融公司的财务风险是如何重要？”。这个问题的核心是关于公司的总风险以及公司

49、风险组成部分的各决定因素的不确定性。研究最近在资产定价和企业融资再度引发的两个学术研究中分析了股票价格风险利率。一系列的资产定价文献探讨了关于卡贝尔等的发现。（2001）在过去的40年，公司特定（特有）的风险有增加的趋势。相关的工作表明，个别风险可能是一个价格风险因素（见戈亚尔和克莱拉，2003年）。也关系到牧师和维罗妮卡的工作研究结果（2003年），显示投资者对公司盈利能力是其特殊风险还是公司价值不确定的重要决定因素。其他研究（如迪切夫，1998年，坎贝尔，希尔舍，和西拉吉，2008）已经研究了股票，债券价格波动的作用。然而，股票价格风险实证研究的大部分工作需要提供资产风险或试图解释特有风险

50、的趋势。与此相反，本文从不同的角度调查股票价格风险。首先，我们通过在公司经营中有关的产品所固有的风险（即，经济或商业风险）来考虑为企业融资业务风险，和企业运营有关的财务风险（即，金融风险）。第二，我们试图评估经济和财务风险的相对重要性以及对金融政策的影响。莫迪利亚尼和米勒提早研究（1958）认为，财政政策可以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入资（即，通过自制的杠杆）同时运作良好的资本市场应该可以区分金融危机和经济危机。尽管如此，金融政策，如增加债务资本结构，可以放大财务风险。相反，对企业风险管理最近的研究表明，企业通过发行金融衍生品也可以减少企业风

51、险和增加企业价值。然而，本研究的动机往往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。实证研究表明金融危机如何侵蚀一家典型上市公司的巨额帐户。我们试图通过直接处理公司风险因素分析整体经济和金融风险的作用。在我们的分析过程中，我们利用了美国非金融公司的大样本。我们确定的股票价格风险的最重要决定因素（波动性）视为通过财务杠杆将资产转化为股权的财政政策。因此，在整个论文中，我们考虑了连接资产波动和股权波动的财务杠杆。由此可知，财务杠杆可以衡量资产和股权的波动性。由于财政政策是由经营者（或经营者）决定，因此我们应该注意与企业资产和运营有关的金融政策的影响。具体来说，我们研究了以前

52、的研究表明的各种特点，并尽可能明确区分与公司运营有关的风险（即决定经济的风险因素）和与企业融资有关的风险（即财务风险的决定因素）。然后，我们使经济风险成为利兰和托夫特（1996）模型或者是降低财务杠杆的模型中财政政策的决定性因素。采用结构模型的优点是，我们能够考虑，无论是有关财务及经营问题的一些可能性因素（如分红），还是一般破产决定，且为财政政策内生性的可能性。我们代理的公司风险是从股票每天回报率的标准差而得的普通股的收益波动性计算而来。我们代理的经济风险是用来维护的公司的业务和资产，确定产生的现金流量的过程为公司的本质特征。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

53、）代表一个公司的“硬件”；资本开支衡量资本密集度以及企业发展潜力。营业利润及其波动性可以衡量现金流量的及时性和存在的风险。要了解公司财务风险的影响因素，我们需考察总债务，债务期限，股息支出，以及现金和短期投资。我们分析的核心结果是惊人的：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的波动性变化。相应地，隐含的财务杠杆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（根据型号不同规格，估计技术）在1.03和1.11之间。这表明，企业可能采取其他金融政策管理金融风险，从而将有效杠杆降低到几乎可以忽略不计的水平。

54、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，或现金控股（见如阿查里雅，阿尔梅达，和坎佩洛，2007）。此外，许多公司也利用诸如金融衍生工具，与投资者的合同安排（如信贷额度，债务合同要求规定，或在供应商合同应急费用），车辆特殊用途（特殊目的公司）使用明确的金融风险管理技术，或其他替代风险转移技术。对股票波动性产生影响的经济风险因素预测的迹象通常非常显著。此外，影响的幅度也是巨大的。我们发现，股权会随着企业规模和年龄的大小而波动。这是直观的，因为大型和成熟的企业通常有反映资本报酬波动的较稳定业务范围。资本支出的减少对股票的波动影响较弱。与牧师和韦罗内西（2003年）的预测相一致，我们发

55、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量的公司破产的可能性较小，因此存在潜在风险的可能性较小。在所有的经济风险因素中，公司规模，利润波动及股利政策对股票波动性的的影响突出。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精心研究证实。否则，金融风险与总风险存在不确定的关系。鉴于大量关于财政政策文献的研究，毫不奇怪，至少部分金融变量由企业存在的经济风险决定。不过，具体的调查结果有些出人意料。例如，在一个简单的模型中，资本结构，股利支出会增加财务杠杆，因为它们代表了一个企业（即增加的净债务）的现金流出。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）。我们也估计不同的风险因素随时间变化的敏感性不同。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