Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 15, 2006 erstellt
Beschreibung:
We comprehensively examine the cross-sectional determinants of financial risk for a large sample of non-financial corporations in over 40 countries. The level of total firm risk depends on many firm-specific operating and financial characteristics. Consistent with theoretical models and some prior empirical evidence for U.S. firms, the level and type of assets, as well as profitability characteristics, are significant drivers of total risk. In contrast, most financial characteristics are less important, but surprisingly, dividend policy has the strongest effect on total risk of all factors we consider. We also decompose total risk into market risk and firm-specific risk. Contrary to some theoretical predictions, our results indicate that many similar factors determine each type of risk though not necessarily in equal proportions. However, some factors such as foreign operations and asset liquidity are only significant determinants of market risk. Interestingly, the effects of operating and financial characteristics on firm risk depend on the overall level of economic and financial risk in a firm's home-country. For example, asset tangibility and the use of interest rate derivatives are only important in countries with high financial risk. Finally, we find that many determinants of total firm risk also have important effects on firm value in the way predicted by theory