Nature of Firm Risk

摘要: This article shows that qualitatively different measures of 'firm risk' are significantly correlated, and have a long memory, with significant correlations to at least five years, Regressions find risks arise from small number stable firm traits investor expectations. Firm risk is sourced in set latent parameters which change slowly - like an attractor chaotic system confine firms high or low region. Using constituents the S&P 500 Index during most recent full cycle US equity market 1998 2003, datasets merged develop 11 relating uncertainty accounting returns, variability cash flows, business such as product recalls, unsafe workplaces fraud. The data also provide 16 independent variables previously shown affect propensity risk. Cross-sectional analysis through explains variation between firms' terms structural features (Altman's Z), CEO compensation options, management strategy (acquisition R&D expenditures), margin. Annual show market-based factors explain about 37 percent returns. Investor returns impacted by counterparties, especially customers, employees shareholders. results contribute growing literature on behavioral corporate finance shed light sources firm-specific now dominate risks.