Cash Holdings and Credit Risk

• 成果类型: Article
• 署名作者: Acharya, Viral; Davydenko, Sergei A.; Strebulaev, Ilya A.
• 署名单位: University of Toronto; New York University; Stanford University; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs106
• 发表日期: 2012
• 页码: 3572
• 关键词: Corporate liquidity; Financial distress; capital structure; bankruptcy; debt; spreads; ratios; determinants; prediction; probability

摘要

Intuition suggests that firms with higher cash holdings should be safer and have lower credit spreads. Yet empirically, the correlation between cash and spreads is robustly positive. This puzzling finding can be explained by the precautionary motive for saving cash, which in our model causes riskier firms to accumulate higher cash reserves. In contrast, spreads are negatively related to the part of cash holdings that is not determined by credit risk factors. Similarly, although firms with higher cash reserves are less likely to default in the short term, endogenously determined liquidity may be related positively to the longer-term probability of default. Our empirical analysis confirms these predictions, suggesting that precautionary savings are central to understanding the effects of cash on credit risk.