【導(dǎo)讀】摘要：本文探討了美國非金融企業(yè)64年至2021年股票價(jià)格風(fēng)險(xiǎn)的決定因素。策公司財(cái)務(wù)特征我們發(fā)現(xiàn)，股票價(jià)格風(fēng)險(xiǎn)主要通過經(jīng)營和資產(chǎn)特點(diǎn)，如企業(yè)年齡，在過去30年我們財(cái)務(wù)風(fēng)險(xiǎn)采取的措施有所，的措施。，結(jié)果表明，典型的美國公司謹(jǐn)慎。管理的財(cái)政政策大大降低了風(fēng)險(xiǎn)。因此，現(xiàn)在看來微不足道的剩余風(fēng)險(xiǎn)相對(duì)底層。毫無疑問，金融機(jī)構(gòu)和融資。銀行系統(tǒng)可能是最近的經(jīng)濟(jì)和金融混亂的根本原因。迄今為止，盡管資本市場在危機(jī)中美國非金融部門的問題相比金融。實(shí)上，非金融公司申請(qǐng)破產(chǎn)的事件大都發(fā)生在美國各行業(yè)（如汽車制造業(yè)，報(bào)紙，房地產(chǎn)）所面臨的基本經(jīng)濟(jì)壓力金融危機(jī)之前。最近在資產(chǎn)定價(jià)企業(yè)融資再度引發(fā)學(xué)術(shù)研究分析股票價(jià)格風(fēng)險(xiǎn)利率。已經(jīng)研究了股票，債券價(jià)格波動(dòng)的作用。們的分析中，我們利用了美國非金融公司的大樣本。的調(diào)查結(jié)果，最新趨勢是獨(dú)特性風(fēng)險(xiǎn)在股票上市年輕高風(fēng)險(xiǎn)公司。增加現(xiàn)金持有量，這樣凈債務(wù)也有所下降。

　　

【正文】 to firms that choose to take on such risks either through high debt levels or a lack of risk management. In contrast, our study suggests that the typical nonfinancial firm chooses not to take these risks. In short, gross financial risk may be important, but firms can manage it. This contrasts with fundamental economic and business risks that are more difficult or undesirable to hedge because they represent the mechanism by which the firm earns economic profits. The paper is anized at follows. Motivation, related literature, and hypotheses are reviewed in Section 2. Section 3 describes the models we employ followed by a description of the data in Section 4. Empirical results for the LelandToft model are presented in Section 5. Section 6 considers estimates from the reduced form model, aggregate debt data for the no financial sector in the ., and an analysis of bankruptcy filings over the last 25 years. Section 6 concludes. 2 Motivation, Related Literature, and Hypotheses Studying firm risk and its determinants is important for all areas of finance. In the corporate finance literature, firm risk has direct implications for a variety of fundamental issues ranging from optimal capital structure to the agency costs of asset substitution. Likewise, the characteristics of firm risk are fundamental factors in all asset pricing models. The corporate finance literature often relies on market imperfections associated with financial risk. In the Modigliani Miller 1958 framework, financial risk or more generally financial policy is irrelevant because investors can replicate the financial decisions of the firm by themselves. Consequently, wellfunctioning capital markets should be able to distinguish between frictionless financial distress and economic bankruptcy. For example, Andrade and Kaplan 1998 carefully distinguish between costs of financial and economic distress by analyzing highly leveraged transactions, and find that financial distress costs are small for a subset of the firms that did not experience an “economic” shock. They conclude that financial distress costs should be small or insignificant for typical firms. Kaplan and Stein 1990 analyze highly levered transactions and find that equity beta increases are surprisingly modest after recapitalizations. The ongoing debate on financial policy, however, does not address the relevance of financial leverage as a driver of the overall riskiness of the firm. Our study joins the debate from this perspective. Correspondingly, deposing firm risk into financial and economic risks is at the heart of our study. Research in corporate risk management examines the role of total financial risk explicitly by examining the motivations for firms to engage in hedging activities. In particular, theory suggests positive valuation effects of corporate hedging in the presence of capital market imperfections. These might include agency costs related to underinvestment or asset substitution see Bessembinder, 1991, Jensen and Meckling, 1976, Myers, 1977, Froot, Scharfstein, and Stein,1993 , bankruptcy costs and taxes Smith and Stulz, 1985 , and managerial risk aversion Stulz,1990 . However, the corporate risk management literature does not generally address the systematic pricing of corporate risk which has been the primary focus of the asset pricing literature. Lintner 1965 and Sharpe 1964 define a partial equilibrium pricing of risk in a mean variance framework. In this structure, total risk is deposed into systematic risk and idiosyncratic risk, and only systematic risk should be priced in a frictionless market. However, Campbelletal 2021 find that firmspecific risk has increased substantially over the last four decades and various studies have found that idiosyncratic risk is a priced factor Goyal and Santa Clara,2021, Ang, Hodrick, Xing, and Zhang, 2021, 2021, Spiegel and Wang, 2021 . Research has determined various firm characteristics ., industry growth rates, institutional ownership, average firm size, growth options, firm age, and profitability risk are associated with firmspecific risk. Recent research has also examined the role of equity price risk in the context of expected financial distress costs Campbell and Taksler, 2021, Vassalou and Xing, 2021, Almeida and Philippon, 2021, among others . Likewise, fundamental economic risks have been shown to be to be related to equity risk factors see, for example, Vassalou, 2021, and the citations therein . Choiand Richardson 2021 examine the volatility of the firm’s assets using issue level data on debt and find that asset volatilities exhibit significant timeseries variation and that financial leverage has a substantial effect on equity volatility.