مقاله انگلیسی رایگان در مورد حق بیمه در بازده سهام بین المللی – اسپرینگر 2017

Over the last three decades, the cash holdings of a typical U.S. firm have more than doubled (Bates et al. 2009). In the aftermath of the recent financial crisis, the continuing increase in corporate cash holdings has also gained considerable media attention in the financial press. For instance, a 2010 article in The Wall Street Journal already states that ‘‘U.S. companies are holding more cash in the bank than at any point on record.’’1 As of 2016, this trend has not lost its momentum: U.S. firms currently have more than $1.9 trillion in cash. Some firms like General Motors even hold by now nearly half of their market value in cash.2 This tremendous shift in the firms’ cash-holding behavior has also attracted a recent surge of interest among academics on the stock market implications of corporate cash holdings. Faulkender and Wang (2006) were among the first who have studied how changes in the firm’s cash holdings are valued by shareholders. They find in general a positive association between cash increases and the firm’s market value, but the marginal impact of cash varies with the firm’s financial characteristics. Additional cash has a stronger impact on the firm’s market value among firms with low levels of cash, low levels of debt, and constraints in accessing financial markets. Focusing not on changes in cash but on the relation between the firm’s general level of cash and subsequent stock returns, Palazzo (2012), Rao et al. (2013), and Lam et al. (2015) find that high-cash firms in general outperform low-cash firms and that this return difference cannot be explained by existing asset pricing models, giving rise to an anomalous cash-return effect or in other words a cash premium in average stock returns. Given that the studies mentioned above only focus on the U.S. equity market, but the trend of increasing corporate cash holdings is also present outside the USA (Pinkowitz et al. 2013), we contribute in the present paper to the literature by studying the existence of a cash premium in non-U.S. equity markets for the first time. As with any finding in empirical research, the uncovered cashreturn effect could be the result of data snooping in the sense of Lo and MacKinlay (1990) and therefore be sample specific. To address this concern, we independently examine in this study the relation between corporate cash holdings and subsequent stock returns in the broad cross section of international firms drawn from 20 developed non-U.S. equity markets. As international equity markets provide fresh data, our non-U.S. analysis provides a useful out-of-sample test on the significance of the cash-return relation around the world. From the previous U.S. evidence, we derive three hypotheses that we test out-of-sample in non-U.S. equity markets. The first hypothesis directly addresses whether international stock returns conform to the same pattern observed in the USA, culminating in the existence of an international cash premium.