How Important Is Financial Risk?

被引：31

作者：

Bartram, Soehnke M. ^{[1
]}

Brown, Gregory W. ^{[2
]}

Waller, William ^{[2
]}

机构：

[1] Univ Warwick, Sch Business, Coventry CV4 7AL, W Midlands, England

[2] Univ N Carolina, Kenan Flagler Business Sch, Chapel Hill, NC 27599 USA

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2015年 / 50卷 / 04期

关键词：

CAPITAL STRUCTURE; CORPORATE; CASH; PREDICTION; DERIVATIVES; VOLATILITY; BANKRUPTCY; OPTIONS; RATIOS; RETURN;

D O I：

10.1017/S0022109015000216

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We explore the determinants of equity price risk of nonfinancial corporations. Operating and asset characteristics are by far the most important determinants of risk. For the median firm, financial risk accounts for only 15% of observed stock price volatility. Furthermore, financial risk has declined over the last 3 decades, indicating that any upward trend in equity volatility was driven entirely by economic risk factors. This explains why financial distress (as opposed to economic distress) was surprisingly uncommon in the nonfinancial sector during the 2007-2009 crisis even as measures of equity volatility reached unprecedented highs.

引用

页码：801 / 824

页数：24

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