Gryglewicz, Sebastian; Mancini, Loriano; Morellec, Erwan; Schroth, Enrique; Valta, Philip (2022). Understanding Cash Flow Risk. The review of financial studies, 35(8), pp. 3922-3972. Oxford University Press 10.1093/rfs/hhab127
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Theory has recently shown that corporate policies should depend on firms’ exposure to short- and long-lived cash flow shocks and the correlation between these shocks. We provide granular estimates of these parameters for Compustat firms using a new filter that uses only cash flow data and the theoretical restrictions of a canonical cash flow model. As predicted by theory, we find that the estimated parameters are strongly related to corporate liquidity and financing choices, that firms with a higher estimated correlation between shocks implement riskier policies, and that the sign of this correlation determines the cash flow sensitivity of cash.
Item Type: |
Journal Article (Original Article) |
|---|---|
Division/Institute: |
03 Faculty of Business, Economics and Social Sciences > Department of Business Management > Institute of Financial Management |
UniBE Contributor: |
Valta, Philip |
Subjects: |
300 Social sciences, sociology & anthropology > 330 Economics |
ISSN: |
0893-9454 |
Publisher: |
Oxford University Press |
Language: |
English |
Submitter: |
Karin Dolder |
Date Deposited: |
25 Aug 2022 09:00 |
Last Modified: |
05 Dec 2022 16:22 |
Publisher DOI: |
10.1093/rfs/hhab127 |
Uncontrolled Keywords: |
G31 - Capital Budgeting; Fixed Investment and Inventory Studies; Capacity G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G35 - Payout Policy |
BORIS DOI: |
10.48350/172230 |
URI: |
https://boris.unibe.ch/id/eprint/172230 |
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