Market timing, investment, and risk management

• 成果类型: Article
• 署名作者: Bolton, Patrick; Chen, Hui; Wang, Neng
• 署名单位: Columbia University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.02.006
• 发表日期: 2013
• 页码: 40-62
• 关键词: Risk management; liquidity; Financial crisis; Market timing; INVESTMENT; q theory

摘要

The 2008 financial crisis exemplifies significant uncertainties in corporate financing conditions. We develop a unified dynamic q-theoretic framework where firms have both a precautionary-savings motive and a market-timing motive for external financing and payout decisions, induced by stochastic financing conditions. The model predicts (1) cuts in investment and payouts in bad times and equity issues in good times even without immediate financing needs; (2) a positive correlation between equity issuance and stock repurchase waves. We show quantitatively that real effects of financing shocks may be substantially smoothed out as a result of firms' adjustments in anticipation of future financial crises. (C) 2013 Elsevier B.V. All rights reserved.