风险资产与预防性储蓄（JF2016）

Title：Precautionary Savings with Risky Assets: When Cash Is Not Cash（JF2016）

Abstract：U.S. industrial firms invest heavily in noncash, risky financial assets such as corporate debt, equity, and mortgage-backed securities. Risky assets represent 40% of firms’ financial portfolios, or 6% of total book assets. We present a formal model to assess the optimality of this behavior. Consistent with the model, risky assets are concentrated in financially unconstrained firms holding large financial portfolios, are held by poorly governed firms, and are discounted by 13% to 22% compared to safe assets. We conclude that this activity represents an unregulated asset management industry of more than $1.5 trillion, questioning the traditional boundaries of nonfinancial firms.

摘要：美国工业企业大量投资于非现金的高风险金融资产，如公司债务、股权和抵押贷款支持的证券。风险资产占公司金融投资组合的40%，或账面总资产的6%。我们提出了一个正式的模型来评估这种行为的最优性。与该模型一致，风险资产集中在财务不受约束的公司，持有大量的金融组合，由治理不善的公司持有，与安全资产相比，风险资产的折价率为13%至22%。我们的结论是，这种活动代表了一个超过1.5万亿美元的不受监管的资产管理行业，对非金融公司的传统界限提出了质疑。

直接翻译自DeepL，推荐视频详见：https://www.bilibili.com/video/BV1CG4y1t7RD