非金融企业是否利用金融资产承担风险?

IF 1.9 Q2 BUSINESS, FINANCE

Review of Corporate Finance Studies Pub Date : 2022-11-29 DOI:10.1093/rcfs/cfac040

Zhiyao Chen, Ran Duchin

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引用次数: 0

摘要

利用手工收集的金融资产组合数据，并利用2014年石油价格危机作为外生现金流冲击，我们研究了陷入困境的公司的金融风险承担。我们发现，由于短期负债带来了较高的债务展期风险，陷入困境的公司大幅增加了对风险金融资产的投资，包括公司债务、股票和抵押贷款支持证券。对于没有对冲、抵押品资产较低的公司，这种影响更为强烈。总的来说，我们提供了新的证据，表明陷入困境的公司利用伪装成现金储备的金融资产承担风险，与实物资产相比，这些资产不太显眼，交易成本更低，回报更快。

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Do Nonfinancial Firms Use Financial Assets to Take Risk?

Using hand-collected data on financial asset portfolios and exploiting the 2014 oil price crisis as an exogenous cash flow shock, we investigate financial risk-taking at distressed firms. We find that distressed firms, with high debt rollover risk proxied for by short-term liabilities, substantially increase their investments in risky financial assets, including corporate debt, equity, and mortgage-backed securities. The effects are stronger for unhedged firms with low collateral assets. Overall, we provide new evidence that distressed firms take risk using financial assets camouflaged as cash reserves, which, compared to real assets, are less visible and carry lower transaction costs and accelerated payoffs.

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来源期刊

Review of Corporate Finance Studies BUSINESS, FINANCE-

CiteScore

17.80

自引率

1.80%

发文量

期刊介绍： The Review of Corporate Finance Studies (RCFS) is dedicated to publishing high-quality research in the expansive field of Corporate Finance. The journal seeks original contributions, reviewing papers based on their unique insights into Corporate Finance. This encompasses a wide spectrum, including a firm's interactions with stakeholders, capital markets, internal organization structure, compensation mechanisms, corporate governance, and capital management. RCFS also welcomes research in financial intermediation, financial institutions, microstructure, and the implications of asset pricing for Corporate Finance. The journal considers theoretical, empirical, and experimental papers for review.