1、 外文翻译 原文 ASSET LIQUIDITY AND THE COST OF CAPITAL Material Source: NBER Working Paper 2010（ 5） Author: Hernn Ortiz-Molina and Gordon M. Phillips Understanding what are the underlying sources of risk that drive the cross-sectional and time-series variation in firms cost of capital is of fundamental in
2、terest in financial economics. Previous work, including recent studies by Pstor, Sinha, and Swaminathan (2008) and Chava and Purnanandam (2009) which highlight the importance of using ex-ante measures of the cost of capital, shed light on this question. However, very little is known about how the co
3、st of capital may be affected by the liquidity of a firms physical assets. Yet, asset liquidity directly affects a firms ability to redeploy its real assets to alternative uses and thus its flexibility in responding to a changing business environment. For example, Diamond and Rajan (2009) argue that
4、 during the recent financial crisis firms may have been unwilling to sell assets at the prevailing fire-sale prices. The importance of the constraints that illiquid asset markets impose on a firms ability to restructure its operations are illustrated in a recent article in the Wall Street Journal.In
5、 early June 2009 Quest Communications was soliciting bids for its long-distance business, with the objectives of exiting an unprofitable business and raising cash to pay down some of its debt. Naturally, the potential buyers for this highly industry-specific asset were other telecom firms (e.g., Lev
6、el 3 Communications, XO Communications, and TW Telecom). However, the potential bids were coming at a 50% discount from the target price set by Quest. At that time, Quest faced the choice of calling off the auction or accepting a significant discount. In this paper we examine whether more liquid ass
7、et markets reduce a firms cost of capital by increasing its operating flexibility. Our study is motivated by recent studies in both corporate finance and asset pricing. The corporate finance literature emphasizes the significant frictions firms face in redeploying their real assets to their best alt
8、ernative use. The problem is that, because assets are often industry or firm specific, it is difficult to find a suitable buyer (Shleifer and Vishny (1992). This issue is the focus of a recent study by Almeida, Campello and Hackbarth (2009) who show that, when assets are industry specific but transf
9、erable to other firms in the industry, solvent firms can provide liquidity to distressed firms by buying their assets even in the absence of operational synergies. Furthermore, other studies have shown that asset sales in illiquid markets are associated with a significant price discount (Pulvino (19
10、98), Ramey and Shapiro (2001), and Gavazza (2008). This implies that the cost a firm faces in reversing an investment and its ability to raise cash in an asset sale when distressed depend on the liquidity of the market for its real assets. In sum, this literature suggests that asset liquidity is a m
11、ain determinant of a firms operating flexibility and that as a result asset liquidity should affect a firms cost of capital ex-ante. In asset pricing, a growing theoretical literature directly links a firms cost of reversing its real investment to its cost of capital (e.g., Kogan (2004), Gomes, Koga
12、n,and Zhang (2003), Carlson, Fisher, and Giammarino (2004), Zhang (2005), and Cooper (2006). The argument is that firms with significant costs of reversing their real investments will be unable to scale down their operations during times of lo w demand for their products. As a result, they will be u
13、nable to cut their fixed costs and will remain burdened with unproductive capital. This, in turn, increases the covariance of a firms performance with macroeconomic conditions, especially during economic downturns, and thus it leads investors to require higher returns for the capital they provide. F
14、or the purposes of our study it is important that we measure asset liquidity for firms in a broad number of industries and over a long period of time. Throughout the paper, we use three different measures of asset liquidity: the number of industry rivals with access to debt markets, the average leve
15、rage net of cash of industry rivals, and the value of M&A activity in a firms industry. The first two measures capture the presence of potential buyers from within the industry and are motivated by Shleifer and Vishny (1992) and recently by Almeida, Campello and Hackbarth (2009). The intuition behin
16、d these measures is that a firms assets are more valuable to other firms in the industry, which are better able to redeploy them to alternative uses. As a result, industry insiders with financial slack are the most likely buyers of the assets. The third measure follows Schlingemann, Stulz and Walkli
17、ng (2002), who argue that a high volume of M&A activity in an industry is evidence of high asset liquidity because price discounts are smaller in more active resale markets. We measure a firms expected return using two alternative methods. The primary measure we use in our analyses is the implied co
18、st of capital (ICC), which Pstor,Sinha, and Swaminathan (2008) show is a good proxy for a stocks conditional expected return under plausible conditions. An advantage of using ICC is that it does not rely on noisy realized returns or on specific asset pricing models. Specifically, Elton (1999) forcef
19、ully argues against using realized returns in asset pricing tests, and Fama and French (1997) show that measures based on standard models are imprecise.Moreover, unlike tests based on returns, the ICC detects a positive risk-return tradeoff (Pstor, Sinha, and Swaminathan (2008) and a positive relati
20、on between distress risk and expected returns (Chava and Purnanandam (2009).For robustness,in our main tests we also measure expected returns using Fama and Frenchs (1993) three-factor model (FFCC). Using a large-scale dataset containing firms in 304 different three-digit SIC industries during the p
21、eriod 1984-2006, we show that asset liquidity is a major determinant of a firms operating flexibility, and that it has an economically significant impact on a firms cost of capital. In our initial univariate tests using both the implied cost of capital and the Fama-French cost of capital as well as
22、alternative measures of asset liquidity, we find an asset-liquidity discount, that is, the cost of capital is lower for firms in the highest versus the lowest asset-liquidity quintiles. Our estimates range from 2.72 to 6.52 percentage points lower depending on the measure of asset liquidity. Moreove
23、r, consistent with the theoretical argument that operating inflexibility causes time-varying equity risk, in time-series tests we find that the asset-liquidity discount is strongly counter-cyclical. Thus, our initial evidence shows that there is an asset-liquidity discount which is likely to be driv
24、en by costly reversibility of investment. Consequently, in firm-level tests we further examine the relation between asset liquidity and the cost of capital by exploiting the rich panel structure of our data. Our cross-sectional multivariate tests show that firms with higher asset liquidity have a lo
25、wer implied cost of capital and a lower Fama-French cost of capital than firms with lower asset liquidity. Our within-industry time-series tests show that during periods of high asset liquidity in the industry a firmsimplied cost of capital is lower than it is during periods of low asset liquidity.
26、These tests imply that a one-standard deviation increase in asset liquidity across firms decreases the implied cost of capital by 1.4 to 1.9 percentage points and a similar increase in an industrys asset liquidity over time decreases the implied cost of capital by 0.5 to 1.5 percentage points. Our m
27、easure of asset liquidity based on M&A activity allows us to further distinguish between inside asset liquidity, the value of M&A activity involving acquirers that operate within the industry, and outside asset liquidity, the value of M&A activity involving acquirers that operate outside the industr
28、y. As argued by Shleifer and Vishny (1992), buyers from inside the industry can better redeploy the asset to a productive use and are willing to pay higher prices. In contrast, buyers from outside the industry are willing to pay lower prices due to a lack of synergies and of experience in operating
29、the asset. Suggesting that inside buyers provide more liquidity in asset markets than outside buyers, we find that inside liquidity reduces firms implied cost of capital by more than outside liquidity. These findings are consistent with the recent results for mergers in Almeida, Campello and Hackbar
30、th (2009), who show that when industry-level asset specificity is high financially distressed firms are often able to sell their assets to more financially flexible firms in their industries instead of selling them to industry outsiders. We also explore which competitive factors affect the importanc
31、e of asset liquidity in explaining firms cost of capital. We first study the role of the competitive risk a firm faces in product markets. Asset liquidity should be more valuable for firms in more competitive industries, where competition is fiercer due to lower barriers to entry. It should also be
32、more valuable for the smallest firms in an industry, since these firms are more exposed to competitive threats from larger rivals and have a higher likelihood of exit in industry restructurings. Supporting these predictions, we find that asset liquidity decreases the implied cost of capital mostly f
33、or firms in competitive industries and for firms with smaller market shares. Our arguments suggest that asset liquidity is valuable because it allows firms to scale down their operations and to raise cash with asset sales. This suggests that the effect of asset liquidity on the cost of capital shoul
34、d depend on a firms access to external financing, its financial situation, its investment opportunities, and its economic environment. Supporting this view, we find that the negative effect of asset liquidity on the implied cost of capital is stronger for firms with no debt ratings, with higher prob
35、ability of default, with lower market-to-book value of assets, and for those operating during industry downturns. In further robustness tests we show that the effect of asset liquidity on the implied cost of capital holds in pure cross-sectional tests, as well as in cross-sectional and time-series t
36、ests controlling for the industrys valuation. This suggests that our findings are not biased by a correlation between our measures of asset liquidity and changes in industry valuation or the supply of capital. Moreover, our main results hold in industry-level tests, they are robust to measuring expe
37、cted returns using the unlevered implied cost of capital, and are not driven by biases in analysts forecasts. They also hold if we measure asset liquidity using the average acquisition premium in the industry, when we use segment-weighted measures of asset liquidity, and if we control for stock liqu
38、idity or cash holdings. Our paper is closely related to the literature which suggests that a firms ability to sell assets enhances its operating and financial flexibility. Maksimovic and Phillips (1998) show that asset sales are at the core of firms restructuring processes, and Schlingemann, Stulz,
39、and Walkling (2002) show that asset liquidity determines firms ability to restructure. Moreover, Lang, Poulsen, and Stulz (1995) find that sellers of assets are usually poor performers and Weiss and Wruck (1998) show that asset liquidity helps managers maneuver in financial distress.3 Similarly, Alm
40、eida, Campello, and Hackbarth (2009) show that when assets are transferrable within the industry inside-industry buyers purchase distressed assets purely due to liquidity reasons. Last, Benmelech and Bergman (2009) find that debt tranches of airlines secured with more redeployable collateral have hi
41、gher credit ratings and lower credit spreads. We add to this literature by showing that the flexibility provided by asset liquidity significantly reduces a firms cost of equity capital. The article is structured as follows. Section 2 develops our main hypothesis and related empirical predictions. Se
42、ction 3 describes our data and variables. Section 4 reports the main empirical results. Section 5 presents additional robustness tests.Section 6 concludes. 译文 流动性资产和资本成本 资料来源 :国家经济研究局报 2010(5) 作者： Hernn Ortiz-Molina 和Gordon M. Phillips 了解什么是风险的根本来源推动了企业资本成本的横截面和时间序列的变化在金融经济学中的根本利益。先前的研究，包括最近 Pstor,
43、Sinha,和Swaminathan（ 2008）以及 Chava 和 Purnanandam（ 2009）强调了利用资本成本事前措施的重要性来阐明这个问题。可是很少有人知道资本成本是如何被企业的有形资产影响的。流动性资产直 接影响企业的重新调配实际资产改换用途和在改变经营环境中的反应灵活性的能力。比如说， Diamond 和 Rajan（ 2009）提出，在最近的金融危机中，企业可能有一直不愿意廉价出售的资产。 华尔街日报在 2009年 6月初的一篇文章证明了约束条件对于流动资产市场施加给一个公司重组或者调整其业务操作能力的重要性。探索通信系统正在为了他们的长途通话业务招募投标者，同时退出一
44、些无利可图的业务，提高现金支付来偿还部分债务。当然，对于这种高度针对特定行业的资产的潜在买家包括其他电信公司（例如， Level 3 通信， XO 通信和 TW 电信）。然而这些潜在的出价只是探索公司目标价的 50%。那时候探索公司面临着做出关闭竞拍或者承担重大折扣的抉择。 在本文中，我们研究的是是否更具流动性的资产市场会通过增加一个公司的经营灵活性来降低其资金成本。我们的研究是出于最近的企业融资和资产定价这两类研究。企业融资的文献强调企业在重新部署它们的实际资产到最佳替代品的使用时所面临的重大摩擦。但问题是，由于资产经常特定行业或企业，很难找到合适的买家 （ Shleifer and Vis
45、hny（ 1992） . 这个问题是由 Almeida，Campello和 Hackbarth （ 2009）最近研究的重点，他们表示，当资产是特定行业的但是转到同行业其他公司，公司可以通过购买危机企业的资产甚至缺少的业务协同作用来提供流动性给他们。此外，其他研究显示，在流动市场的资产销售同价格折扣息息相关。 Pulvino（ 1998）， Ramey ， Shapiro（ 2001）和 Gavazza（ 2008）。这暗含着公司在扭转投资时所面临的花费和在资产出售时提高现金的能力。总之， 这个文献表明，资产的流动性是一个企业的经营灵活性的主要因素，而资产流动性的结果就是它应该影响企业的事前资
46、本 成本。 在资产定价中，越来越多的理论文献直接链接到一个公司扭转其实际投资到资本成本所需的成本（例如 Kogan (2004)， Gomes， Kogan和 Zhang (2003)，Carlson， Fisher和 Giammarino (2004)， Zhang (2005)和 Cooper（ 2006）。重点是扭转其实际投资巨额成本的公司 无法降低他们的产品在需求低时所需的操作。因此，他们将无法削减固定成本，并将继续负担非生产性资金。 这 反过来又增加了一个企业在宏观经济条件下表现的方差，尤其是在经济衰退时，这因此必将导致投资者需要为他们提供更高的资本回报。 对于我们的研究目的，重要的
47、是我们在一个庞大的行业及相当长的时间内对企业资产的流动性进行了衡量。 在整篇论文中，我们使用三种不同的资产流动性衡量方法：行业竞争对手进入债券市场的数目，行业竞争对手的平均杠杆净现金的数目，以及一个公司在并购活动中的产业价值。前两个措施，用于捕捉行业内存在的和潜在的购买者，由 Shleifer and Vishny （ 1992）和最近的Almeida, Campello and Hackbarth（ 2009）提出的。这些措施背后给人的直觉是，公司的资产对于其他同行业的公司更有价值，它们能够更好地调动以作其他用途。因此，资金短缺的业内人士最有可能是这批资产的买家。第三个措施由Schlinge
48、mann, Stulz 和 Walkling (2002)提出，他们认为一个行业高容量的并购活动是高资产流动性的证据，因为价格折扣在更加活跃的转售市场中较少。 我们衡量一个企业的预期回报使用两种替代方法。我们在分析的时候最主要的方法是隐含的资本成本法（ ICC）， Pstor， Sinha和 Swaminathan（ 2008）证明了它是一个对股票条件预期回报有利的代理。使用 ICC 的一个优点是，它不依赖于嘈杂的具体实现收益或资产定价模式。具体来说， Elton（ 1999）有力地反驳使用资产定价测试实现收益， Fama 和 French (1997) 证明了那个方法是以标准模型为基础的。此
49、外，和以回报为基础不同， ICC 检测到一个积极的风险返还交易（ Pstor， Sinha和 Swaminathan (2008)），并且危难风险和预期回报呈正相关（ Chava 和 Purnanandam (2009)。对于稳健 性， 我们主要测试测量预期回报，我们也使用 Fama和 French（ 1993）的三因素模型（ FFCC）。 1984 至 2006 期间使用的大型数据集 304 不同的三位数含有碳化硅行业的公司，我们表明资产的流动性是一个企业的经营灵活性的主要因素，而且它有一个对一个公司的资本成本的经济产生重大影响。在我们最初的单变量测试中同时使用了隐性成本和Fama-French 资本成本，我们发现流动资产折扣对于一个企业在流动性资产中最低的是相当于最高的 1/5。我们的测算范围在 2.72%到 6.52%内，这是基于对流动性资产的估量而定的。 此外，与理论的论点一致，即操作不灵活 的原因时变时间序列测试股票风险，我们发现，资产流动性折扣是强烈的反周期性的。因此，我们的初步证据表明，存在一个资产的流动性折扣的很可能是由投资带动高代价的可逆性。 因此，在企业层面的测试中，我们进
