Precautionary Savings with Risky Assets: When Cash Is Not Cash

• 成果类型: Article
• 署名作者: Duchin, Ran; Gilbert, Thomas; Harford, Jarrad; Hrdlicka, Christopher
• 署名单位: University of Washington; University of Washington Seattle
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12490
• 发表日期: 2017
• 页码: 793-852
• 关键词: CORPORATE GOVERNANCE; financial constraints; liquidity risk; cross-section; Firm value; INVESTMENT; holdings; returns; demand; FLOW

摘要

U.S. industrial firms invest heavily in noncash, risky financial assets such as corporate debt, equity, and mortgage-backed securities. Risky assets represent 40% of firms' financial portfolios, or 6% of total book assets. We present a formal model to assess the optimality of this behavior. Consistent with the model, risky assets are concentrated in financially unconstrained firms holding large financial portfolios, are held by poorly governed firms, and are discounted by 13% to 22% compared to safe assets. We conclude that this activity represents an unregulated asset management industry of more than $1.5 trillion, questioning the traditional boundaries of nonfinancial firms.