How Risky Are US Corporate Assets?

• 成果类型: Article
• 署名作者: Davydiuk, Tetiana; Richard, Scott; Shaliastovich, Ivan; Yaron, Amir
• 署名单位: Carnegie Mellon University; University of Wisconsin System; University of Wisconsin Madison; University of Pennsylvania; National Bureau of Economic Research; Bank of Israel; Carnegie Mellon University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13196
• 发表日期: 2023
• 页码: 141-208
• 关键词: long-run risk; equity premium; credit spreads; cross-section; consumption; Dividends; returns; performance; covariance; RESOLUTION

摘要

We use market data on corporate bonds and equities to measure the value of U.S. corporate assets and their payouts to investors. In contrast to equity dividends, total corporate payouts are highly volatile, turn negative when corporations raise capital, and are acyclical. At the same time, corporate asset returns are similar to returns on equity, and both are exposed to fluctuations in economic growth. To reconcile this evidence, we argue that acyclical but volatile net repurchases mask the exposure of total payouts' cash components to economic growth risks. We develop an asset pricing framework to quantitatively illustrate this economic channel.