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外文文献TheImportantOfFinancialRiskSohnkeM.BartramGregoryW.BrownandMuratAtamerAbstract:Thispaperexaminesthedeterminantsofequitypriceriskforalargesampleofnon-financialcorporationsintheUnitedStatesfrom1964to2008.Weestimatebothstructuralandreducedformmodelstoexaminetheendogenousnatureofcorporatefinancialcharacteristicssuchastotaldebtdebtmaturitycashholdingsanddividendpolicy.Wefindthattheobservedlevelsofequitypriceriskareexplainedprimarilybyoperatingandassetcharacteristicssuchasfirmagesizeassettangibilityaswellasoperatingcashflowlevelsandvolatility.Incontrastimpliedmeasuresoffinancialriskaregenerallylowandmorestablethandebt-to-equityratios.Ourmeasuresoffinancialriskhavedeclinedoverthelast30yearsevenasmeasuresofequityvolatilitye.g.idiosyncraticriskhavetendedtoincrease.Consequentlydocumentedtrendsinequitypriceriskaremorethanfullyaccountedforbytrendsintheriskinessoffirms’assets.TakentogethertheresultssuggestthatthetypicalU.S.firmsubstantiallyreducesfinancialriskbycarefullymanagingfinancialpolicies.Asaresultresidualfinancialrisknowappearsnegligiblerelativetounderlyingeconomicriskforatypicalnon-financialfirm.Keywords：Capitalstructure；financialrisk；riskmanagement；corporatefinance11.IntroductionThefinancialcrisisof2008hasbroughtsignificantattentiontotheeffectsoffinancialleverage.Thereisnodoubtthatthehighlevelsofdebtfinancingbyfinancialinstitutionsandhouseholdssignificantlycontributedtothecrisis.Indeedevidenceindicatesthatexcessiveleverageorchestratedbymajorglobalbankse.g.throughthemortgagelendingandcollateralizeddebtobligationsandtheso-called“shadowbankingsystem”maybetheunderlyingcauseoftherecenteconomicandfinancialdislocation.Lessobviousistheroleoffinancialleverageamongnonfinancialfirms.TodateproblemsintheU.S.non-financialsectorhavebeenminorcomparedtothedistressinthefinancialsectordespitetheseizingofcapitalmarketsduringthecrisis.Forexamplenon-financialbankruptcieshavebeenlimitedgiventhattheeconomicdeclineisthelargestsincethegreatdepressionofthe1930s.Infactbankruptcyfilingsofnon-financialfirmshaveoccurredmostlyinU.S.industriese.g.automotivemanufacturingnewspapersandrealestatethatfacedfundamentaleconomicpressurespriortothefinancialcrisis.Thissurprisingfactbegsthequestion“Howimportantisfinancialriskfornon-financialfirms”Attheheartofthisissueistheuncertaintyaboutthedeterminantsoftotalfirmriskaswellascomponentsoffirmrisk.Recentacademicresearchinbothassetpricingandcorporatefinancehasrekindledaninterestinanalyzingequitypricerisk.AcurrentstrandoftheassetpricingliteratureexaminesthefindingofCampbelletal.2001thatfirm-specificidiosyncraticriskhastendedtoincreaseoverthelast40years.OtherworksuggeststhatidiosyncraticriskmaybeapricedriskfactorseeGoyalandSanta-Clara2003amongothers.AlsorelatedtothesestudiesisworkbyPástorandVeronesi2003showinghowinvestoruncertaintyaboutfirmprofitabilityisanimportantdeterminantofidiosyncraticriskandfirmvalue.Otherresearchhasexaminedtheroleofequityvolatilityinbondpricinge.g.Dichev1998CampbellHilscherandSzilagyi2008.Howevermuchoftheempiricalworkexaminingequitypricerisktakestheriskofassetsasgivenortriestoexplainthetrendinidiosyncraticrisk.Incontrastthispapertakesadifferenttackintheinvestigationofequitypricerisk.Firstweseektounderstandthedeterminantsofequitypriceriskatthefirmlevelbyconsideringtotalriskastheproductofrisksinherentinthefirmsoperationsi.e.economicorbusinessrisksandrisksassociatedwithfinancingthefirmsoperationsi.e.financialrisks.Secondweattempttoassesstherelativeimportanceofeconomicandfinancialrisksandtheimplicationsforfinancialpolicy.EarlyresearchbyModiglianiandMiller1958suggeststhatfinancialpolicymaybelargelyirrelevantforfirmvaluebecauseinvestorscanreplicatemanyfinancialdecisionsbythefirmatalowcosti.e.viahomemadeleverageandwell-functioningcapitalmarketsshouldbeabletodistinguishbetweenfinancialandeconomicdistress.Nonethelessfinancialpoliciessuchasaddingdebttothecapitalstructurecanmagnifytheriskofequity.Incontrastrecentresearchoncorporateriskmanagementsuggeststhatfirmsmayalsobeabletoreducerisksandincreasevaluewithfinancialpoliciessuchashedgingwithfinancialderivatives.Howeverthisresearchisoftenmotivatedbysubstantialdeadweightcostsassociatedwithfinancialdistressorothermarketimperfectionsassociatedwithfinancialleverage.Empiricalresearchprovidesconflictingaccountsofhowcostlyfinancialdistresscanbeforatypicalpubliclytradedfirm.Weattempttodirectlyaddresstherolesofeconomicandfinancialriskbyexaminingdeterminantsoftotalfirmrisk.Inouranalysisweutilizealargesampleofnon-financialfirmsintheUnitedStates.Ourgoalofidentifyingthemostimportantdeterminantsofequitypriceriskvolatilityreliesonviewingfinancialpolicyastransformingassetvolatilityintoequityvolatilityviafinancialleverage.Thusthroughoutthepaperweconsiderfinancialleverageasthewedgebetweenassetvolatilityandequityvolatility.Forexampleinastaticsettingdebtprovidesfinancialleveragethatmagnifiesoperatingcashflowvolatility.Becausefinancialpolicyisdeterminedbyownersandmanagerswearecarefultoexaminetheeffectsoffirms’assetandoperatingcharacteristicsonfinancialpolicy.Speci