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, Sebastian Gryglewicz Erasmus University Rotterdam Search for other works by this author on: Oxford Academic Loriano Mancini USI Lugano and Swiss Finance Institute Search for other works by this author on: Oxford Academic Erwan Morellec EPF Lausanne, Swiss Finance Institute, and CEPR Send correspondence to Erwan Morellec, erwan.morellec@epfl.ch. Search for other works by this author on: Oxford Academic Enrique Schroth EDHEC Business School and CEPR Search for other works by this author on: Oxford Academic Philip Valta University of Bern Search for other works by this author on: Oxford Academic
The Review of Financial Studies, Volume 35, Issue 8, August 2022, Pages 3922–3972, https://doi.org/10.1093/rfs/hhab127
Published:
23 November 2021
Article history
Received:
01 February 2021
Editorial decision:
18 August 2021
Published:
23 November 2021
Corrected and typeset:
09 December 2021
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Sebastian Gryglewicz, Loriano Mancini, Erwan Morellec, Enrique Schroth, Philip Valta, Understanding Cash Flow Risk, The Review of Financial Studies, Volume 35, Issue 8, August 2022, Pages 3922–3972, https://doi.org/10.1093/rfs/hhab127
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Abstract
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.
Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
© The Author(s) 2021. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For permissions, please e-mail: journals.permissions@oup.com.
This article is published and distributed under the terms of the Oxford University Press, Standard Journals Publication Model (https://academic.oup.com/journals/pages/open_access/funder_policies/chorus/standard_publication_model)
JEL
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
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Editor: Ralph Koijen Search for other works by this author on: Oxford Academic
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