Precautionary Savings with Risky Assets: When Cash Is Not Cash

被引：241

作者：

Duchin, Ran ^{[1
]}

Gilbert, Thomas ^{[1
]}

Harford, Jarrad ^{[1
]}

Hrdlicka, Christopher ^{[1
]}

机构：

[1] Univ Washington, Michael G Foster Sch Business, Seattle, WA 98195 USA

来源：

JOURNAL OF FINANCE | 2017年 / 72卷 / 02期

关键词：

CORPORATE GOVERNANCE; FINANCIAL CONSTRAINTS; LIQUIDITY RISK; CROSS-SECTION; FIRM VALUE; INVESTMENT; HOLDINGS; RETURNS; DEMAND; FLOW;

D O I：

10.1111/jofi.12490

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：793 / 852

页数：60