OFR Finds Large Cash Holdings Can Lead to Mismeasuring Risk

Sharon Ross

No 22-02, The OFR Blog from Office of Financial Research, US Department of the Treasury

Abstract: Cash is necessary for companies’ operations. Firms use cash to make payments, finance investments, and manage risk. But holding cash comes at a cost: its low pecuniary return. Published today by the OFR, the working paper, “Cash-Hedged Stock Returns,” shows that the cash returns of publicly traded, non-financial firms are correlated. Since cash returns are a part of equity returns, investors that are using equity return correlations to measure risk can mismeasure risk.

Date: 2022-06-28
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.financialresearch.gov/the-ofr-blog/202 ... edged-stock-returns/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ofr:ofrblg:22-02

Access Statistics for this paper

More papers in The OFR Blog from Office of Financial Research, US Department of the Treasury Contact information at EDIRC.
Bibliographic data for series maintained by Corey Garriott ().