Aggregate Risk and the Choice between Cash and Lines of Credit

• 成果类型: Article
• 署名作者: Acharya, Viral V.; Almeida, Heitor; Campello, Murillo
• 署名单位: National Bureau of Economic Research; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Cornell University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12056
• 发表日期: 2013
• 页码: 2059-2116
• 关键词: CORPORATE-INVESTMENT; liquidity risk

摘要

Banks can create liquidity for firms by pooling their idiosyncratic risks. As a result, bank lines of credit to firms with greater aggregate risk should be costlier and such firms opt for cash in spite of the incurred liquidity premium. We find empirical support for this novel theoretical insight. Firms with higher beta have a higher ratio of cash to credit lines and face greater costs on their lines. In times of heightened aggregate volatility, banks exposed to undrawn credit lines become riskier; bank credit lines feature fewer initiations, higher spreads, and shorter maturity; and, firms' cash reserves rise.