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1、HowImportantisFinancialRisk?作者：SohnkeM.Bartram,GregoryW.Brown,andMuratAtamer起止頁碼：1-7出版日期（期刊號(hào)）：September2009,Vol.2,No.4(SerialNo.11)出版單位：TheoryandDecision,DOI10.1007/s11238-005-4590-0Abstract：Thispaperexaminesthedeterminantsofequitypriceriskforalargesampleofnon-financialcorporatio
2、nsintheUnitedStatesfrom1964to2008.Weestimatebothstructuralandreducedformmodelstoexaminetheendogenousnatureofcorporatefinancialcharacteristicssuchastotaldebt,debtmaturity,cashholdings,anddividendpolicy.Wefindthattheobservedlevelsofequitypriceriskareexplainedprimarilybyoperatingand
3、assetcharacteristicssuchasfirmage,size,assettangibility,aswellasoperatingcashflowlevelsandvolatility.Incontrast,impliedmeasuresoffinancialriskaregenerallylowandmorestablethandebt-to-equityratios.Ourmeasuresoffinancialriskhavedeclinedoverthelast30yearsevenasmeasuresofequityvolatil
4、ity(e.g.idiosyncraticrisk)havetendedtoincrease.Consequently,documentedtrendsinequitypriceriskaremorethanfullyaccountedforbytrendsintheriskinessoffirms’assets.Takentogether,theresultssuggestthatthetypicalU.S.firmsubstantiallyreducesfinancialriskbycarefullymanagingfinancialpolicies
5、.Asaresult,residualfinancialrisknowappearsnegligiblerelativetounderlyingeconomicriskforatypicalnon-financialfirm.Keywords：Capitalstructure；financialrisk；riskmanagement；corporatefinance1IntroductionThefinancialcrisisof2008hasbroughtsignificantattentiontotheeffectsoffinanciallevera
6、ge.Thereisnodoubtthatthehighlevelsofdebtfinancingbyfinancialinstitutionsandhouseholdssignificantlycontributedtothecrisis.Indeed,evidenceindicatesthatexcessiveleverageorchestratedbymajorglobalbanks(e.g.,throughthemortgagelendingandcollateralizeddebtobligations)andtheso-called“shad
7、owbankingsystem”maybetheunderlyingcauseoftherecenteconomicandfinancialdislocation.Lessobviousistheroleoffinancialleverageamongnonfinancialfirms.Todate,problemsintheU.S.non-financialsectorhavebeenminorcomparedtothedistressinthefinancialsectordespitetheseizingofcapitalmarketsduring
8、thecrisis.Forexample,non-financialbankru
