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Understanding Cash Flow Risk

SSRN, ISSN: 1556-5068
2017
  • 8
    Citations
  • 4,501
    Usage
  • 9
    Captures
  • 1
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Citations
    8
    • Citation Indexes
      8
  • Usage
    4,501
    • Abstract Views
      3,683
    • Downloads
      818
  • Captures
    9
  • Mentions
    1
    • News Mentions
      1
      • News
        1
  • Ratings
    • Download Rank
      61,524

Most Recent News

New publication for Prof. Morellec in the Review of Financial Studies

The paper “Understanding Cash Flow Risk”, coauthored with Sebastian Gryglewicz, Loriano Mancini, Enrique Schroth, and Philip Valta, has been accepted for publication in the Review

Article Description

Theory has recently shown that corporate policies should depend on the exposure of firms 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 imposed by a canonical cash flow model. As predicted by theory, we find that the estimated parameters have first-order effects on 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.

Bibliographic Details

Sebastian Gryglewicz; Loriano Mancini; Erwan Morellec; Enrique J. Schroth; Philip Valta

Elsevier BV

Multidisciplinary; cash flow risk; permanent and transitory shocks; liquidity management

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