Understanding Cash Flow Risk

• 成果类型: Article
• 署名作者: Gryglewicz, Sebastian; Mancini, Loriano; Morellec, Erwan; Schroth, Enrique; Valta, Philip
• 署名单位: Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Universita della Svizzera Italiana; Swiss Finance Institute (SFI); Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Centre for Economic Policy Research - UK; Universite Catholique de Lille; EDHEC Business School; University of Bern
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab127
• 发表日期: 2022
• 页码: 3922
• 关键词: ASSET PRICE DYNAMICS; corporate-investment; capital structure; time-series; AGENCY; permanent; COSTS; COMPENSATION; consumption; management

摘要

Theory has recently shown that corporate policies should depend on firms' exposure to short- and long-lived cash flow shocks and the correlation between these shocks. We provide granular estimates of these parameters for Compustat firms using a new filter that uses only cash flow data and the theoretical restrictions of a canonical cash flow model. As predicted by theory, we find that the estimated parameters are strongly related to corporate liquidity and financing choices, that firms with a higher estimated correlation between shocks implement riskier policies, and that the sign of this correlation determines the cash flow sensitivity of cash. Authors have furnished an , which is available on the Oxford University Press Web site next to the link to the final published paper online.