财务风险中英文对照外文翻译文献

中英文资料外文翻译

财务风险重要性分析

译文：

摘 要：本文探讨了美国大型非金融企业从1964年至2008年股票价格风险的决定小性因素。我们通过相关结构以及简化模型，研究诸如债务总额，债务期限，现金持有量，及股利政策等公司财务特征，我们发现，股票价格风险主要通过经营和资产特点，如企业年龄，规模，有形资产，经营性现金流及其波动的水平来体现。与此相反，隐含的财务风险普遍偏低，且比产权比率稳定。在过去30年，我们对财务风险采取的措施有所减少，反而对股票波动（如独特性风险）采取的措施逐渐增加。因此，股票价格风险的记载趋势比公司的资产风险趋势更具代表性。综合二者，结果表明，典型的美国公司谨慎管理的财政政策大大降低了财务风险。因此，现在看来微不足道的剩余财务风险相对底层的非金融公司为一典型的经济风险。

关键词：资本结构；财务风险；风险管理；企业融资

1 绪论

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）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。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年之前企业年龄往往与风险是恒定的正相关关系，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，最新趋势是独特性风险与在股票上市的年轻、高风险公司密切相关。

也许最有趣的是我们的分析结果，过去30年，在隐含的金融杠杆下降的同时，股票的价格风险（如独特性风险）似乎一直在增加。事实上，从我们的结构模型来看隐含的财务杠杆，在我们的样本中调停在近1.0（即无杠杆）。这有几个可能的原因。首先，在过去30年，非金融企业的总负债率稳步下降，，所以我们的隐含杠杆也应减少。第二，企业显著增加现金持有量，这样，净债务（债务减去现金和短期投资）

也有所下降。第三，上市公司的构成发生了变化产生更多的风险（尤其是技术导向）。这些公司往往在其资本结构中债务较少。第四，如上所述，企业可以进行金融风险管理的各种活动。只要这些活动在过去几十年中有上升幅度，企业将成为受到金融风险因素影响较少的对象。

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。

在开始之前我们先评论一下我们分析的潜在观点。一些读者可能想将其解释为我们的结果表明财务风险并不重要。这不是正确的解释。相反，我们的结果表明，企业可以管理财务风险，使股东承担较低的经济风险。当然，财务风险对企业来讲非常重要，只是选择承担高负债水平或缺乏管理风险的不同罢了。相比之下，我们的研究表明，典型的非金融类公司选择不采取这些风险。总之，财务总风险可能是重要的，但公司可以管理它。与此相反，基本的经济和商业风险更难以（或不受欢迎）预防，因为他们可以代表机制，使企业赢得经济效益。

下面本文进行条理分析。动机，相关文献，和假设在第2节进行回顾。第3节描述了我们使用的模型，接着在第4节对其数据进行介绍。利兰-托夫特模型的实证结果列在第5节。第6节根据简化模型讨论了美国无金融因素的债务总额数据，以及在过去25年对破产申请的分析估计；并作总结。

2 动机，相关文献，并假设

研究公司风险及其影响因素对金融的所有领域来说是非常重要的。在有关企业融资的文献中，企业的风险对优化资本结构，资产置换的代理成本的各种基本问题产生直接影响。同样，公司风险的特点是所有资产定价模型中的基本因素。

企业融资的文献往往与金融风险相关的市场缺陷密切联系。在莫迪利亚尼米勒（1958年）的框架内，金融风险（或更一般的财政政策）是无关紧要的，因为投资

者可以自行了解公司的财务决策。因此，运作良好的资本市场应该能够区分金融危机和经济破产。例如，安德拉德和卡普兰（1998）通过分析高杠杆交易仔细区分了金融和经济困境成本，最终发现财务困境成本对公司子集来说是很小的，所以是一个不会经历“经济”冲击的。他们的结论是财务困境成本对典型企业来说应该很小或微不足道。卡普兰和斯坦因（1990）分析高杠杆交易发现，继资本结构调整之后股本惊奇的增加。

对金融政策进行的辩论继续进行，但是，没有处理财务杠杆驱动公司整体风险的相关性。我们的研究将从这个角度进行辩论。相应地，将公司风险分解成金融和经济风险是我们研究的核心。

企业风险管理研究表明财务风险的作用明确为企业研究的动机进行对冲活动。特别是对冲理论认为企业受不完善资本市场中存在的积极汇价变动的影响。这些措施可能包括有关资产替代投资不足或代理费用（见贝赛蔓，1991，延森and梅克林，1976，迈尔斯，1977，弗罗，沙尔夫斯泰因，和斯坦因，1993），破产成本和税收（史密斯和施特尔茨，1985），以及管理风险厌恶（施特尔茨，1990）。然而，企业风险管理文献一般不解决企业风险，所以其一直是资产定价系统定价的主要焦点。

林特纳（1965）和夏普（1964）在多变的框架中定义了局部均衡的风险定价。在这种结构中，总风险分解为系统性风险和个别风险，系统风险，只包含一个无通胀的市场价格。然而，坎贝尔（2001年）发现，在过去四十年来公司特定风险已大幅增加，且各种研究已发现，个别风险是价格因素（戈亚尔和圣克拉拉，2003，海德里克，2006）。研究确定各个企业的特点（即，工业增长速度，机构持股，平均企业规模，成长期权，企业年龄，风险和盈利能力）与企业特有的风险.最近有关研究也研究了股票价格风险对财务困境成本的影响（戈亚尔和塔斯勒，2003，阿尔梅达和菲利蓬，2007，等等）。同样的，基本的经济风险已被证明和股票风险因素相关（见，例如，维塞利亚，2003，和引文文献）。理查森（2009）使用债务层面上的数据研究公司资产波动性，最终发现资产的波动表现出巨大的时间序列变化以及金融杠杆对股权的波动有重大影响。

The Important Of Financial Risk

Abstract：This paper 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 examine 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 measures 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 finance

1 Introduction

The 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 Pástor 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 firm?s 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 Pástor 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 firm?s 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

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