 Non-financial corporations and systemic riskMardi Dungey, Thomas Flavin, Thomas O'Connor and Michael Wosser Journal of Corporate Finance, 2022, vol. 72, issue C Abstract: We investigate the systemic importance of U.S. non-financial corporations and analyse the firm-specific characteristics that identify systemically important non-financial firms. We compute two firm-specific measures of systemic risk for 1145 non-financial corporations and confirm that these firms are both vulnerable to systemic shocks and contribute to system-wide risk, though firms that are high in one dimension of risk are not necessarily high in the other. Systemic risk measures exhibit substantial variation across firms and over time. The firm's beta, value-at-risk, size, debt and trade credit are related to both dimensions of systemic risk, while a range of other firm characteristics are associated with systemic risk in at least one direction. The differences between the dimensions of risk and their associated characteristics underline the importance of analysing both measures of risk. Keywords: Systemic risk; MES; ΔCoVaR; Non-financial corporations; Financial crises (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002510 DOI: 10.1016/j.jcorpfin.2021.102129 Access Statistics for this article Journal of Corporate Finance is currently edited by A. Poulsen and J. Netter More articles in Journal of Corporate Finance from Elsevier |
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