Corporate Policies with Permanent and Transitory Shocks

• 成果类型: Article
• 署名作者: Decamps, Jean-Paul; Gryglewicz, Sebastian; Morellec, Erwan; Villeneuve, Stephane
• 署名单位: Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw078
• 发表日期: 2017
• 页码: 162
• 关键词: capital structure; CASH-FLOW; RISK-MANAGEMENT; security design; continuous-time; INVESTMENT; AGENCY; components; DYNAMICS; MODEL

摘要

We model the financing, cash holdings, and hedging policies of a firm facing financing frictions and subject to permanent and transitory cash flow shocks. The permanent and transitory shocks generate distinct, sometimes opposite, effects on corporate policies. We use the model to develop a rich set of empirical predictions. In our model, correlated permanent and transitory shocks imply less risk, lower cash savings, and a drop in the value of credit lines. The composition of cash-flow shocks affects the cash-flow sensitivity of cash, which can be positive or negative. Optimal hedging of permanent and transitory shocks may involve opposite positions.