How Risky are the U.S. Corporate Assets?

83 Pages Posted: 14 Apr 2020

See all articles by Tetiana Davydiuk

Tetiana Davydiuk

Carnegie Mellon University - David A. Tepper School of Business

Scott F. Richard

University of Pennsylvania - The Wharton School

Ivan Shaliastovich

University of Wisconsin - Madison

Amir Yaron

Bank of Israel; University of Pennsylvania -- Wharton School of Business; National Bureau of Economic Research (NBER)

Date Written: 2020

Abstract

We use market data on corporate bonds and equities to measure the value of U.S. corporate assets and their payouts to investors. In contrast to per share equity dividends, total corporate payouts are very volatile, turn negative when corporations raise capital, and are acyclical. This challenges the notion of risk and return since the risk premium on corporate assets is comparable to the standard equity premium. To reconcile this evidence, we show empirically that aggregate net issuances are acyclical and highly volatile, and mask a strong exposure of total payouts' cash components to low-frequency growth risks. We develop an asset-pricing framework to quantitatively assess this economic channel.

Keywords: corporate assets, total payouts, net issuances, asset risk premium, cyclicality

JEL Classification: G12, E30

Suggested Citation

Davydiuk, Tetiana and Richard, Scott F. and Shaliastovich, Ivan and Yaron, Amir and Yaron, Amir, How Risky are the U.S. Corporate Assets? (2020). Available at SSRN: https://ssrn.com/abstract=3557559 or http://dx.doi.org/10.2139/ssrn.3557559

Tetiana Davydiuk (Contact Author)

Carnegie Mellon University - David A. Tepper School of Business ( email )

5000 Forbes Avenue
Pittsburgh, PA 15213-3890
United States

Scott F. Richard

University of Pennsylvania - The Wharton School ( email )

3641 Locust Walk
Philadelphia, PA 19104-6365
United States

Ivan Shaliastovich

University of Wisconsin - Madison ( email )

716 Langdon Street
Madison, WI 53706-1481
United States

Amir Yaron

University of Pennsylvania -- Wharton School of Business ( email )

The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States
215-898-1241 (Phone)
215-898-6200 (Fax)

Bank of Israel

P.O. Box 780
Jerusalem, 91907
Israel

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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