ریسک داخلی نقدینگی، اثرات شلاقی مالی و گسترش عملکرد بازدهی اوراق قرضه شرکتی : دیدگاه های زنجیره تامین

This study explores internal liquidity risk (ILR) and financial bullwhip effects on corporate bond yield spreads along supply chain counterparties by employing American market data from year 1997 to 2008. This study finds that the ILRs of suppliers and customers positively affect a firm’s bond yield spreads and the effects of customers’ ILRs are greater. This research also finds a financial bullwhip effect that the ILR effect becomes greater upwardly along the supply chain counterparties. The results are robust when controlling for well-known spread determinant variables.

The recent global financial crisis, to a large degree, is the result of firms’ liquidity crunches caused by the rampant devastating conditions of firms’ financing ability and net operating cycle.1 Due to the slump of equity markets and the fragility of debt markets, a firm is very hard to obtain external financing. Therefore, firms’ suppliers may adopt a tighter credit policy and their customers may have problems in paying back account receivables. Under such circumstances, firms have less possibility to prolong purchase payments and hard to timely collect account receivables, which lengthens firms’ net operating cycle (Tsai, 2008),2 indicating a deteriorated internal liquidity condition.3 The phenomenon of domino effect reveals that the internal liquidity risks spreading from supply chain counterparties increase a firm’s uncertainties in both available liquidity and obligation payments. These uncertainties lead to an increase in a firm’s flow-based corporate credit risk as described by Chen et al., 2011a and Chen et al., 2011b. That is, the supply chain relationship provides a channel to transmit the cash flow variations of suppliers and customers to a firm and therefore the internal liquidity risks are rampant along supply chains. However, few existing studies consider the risk transmission effects of internal liquidity risk “spreading” through supply chains, such as incorporating suppliers’/customers’ internal liquidity risk effects into corporate credit model settings or investigating their effects on bond yield spreads. To address the issue, this study employs American bond market data to examine the internal liquidity risk effects of a firm’s supply chain counterparties on the firm’s bond yield spreads. Among the corporate credit risk related works, the issue of exploring the determinants of corporate bond yield spreads becomes one of the most noticeable topics. Most extant studies explore the effects of firm or bond characteristics on bond yield spreads from structural credit model perspectives, including leverage ratio (Collin-Dufresne et al., 2001), equity volatility (Campbell and Taksler, 2003), trading (external) liquidity risk (Warga, 1992 and Longstaff et al., 2005), tax effect (Qi et al., 2010), information asymmetry and information uncertainty (Yu, 2005, Liao et al., 2009, Lu et al., 2010 and Güntay and Hackbarth, 2010). Different from the above studies, Chen et al. (2011b) investigate bond yield spreads determinants from a flow-based credit model perspective and demonstrate that a firm’s internal liquidity risk significantly affects its bond yield spreads when controlling for yield spread determinant variables well known in the literature.4 In addition, from the 0 chain, Chen et al. (forthcoming) show that suppliers’ information flow risk plays an important role in explaining a firm’s bond yield spreads. Though many studies have explored the determinants of bond yield spreads, a significant unexplained portion still exists. As a result, based upon Chen et al., 2010 and Chen et al., 2011b, this study aims to fill the gap from the prospective of internal liquidity risk “spreading” along supply chain. Regarding the discussions of the relation between a firm’s credit risk and the supply chain characteristics, most studies focus on the wealth effects of financial distress between a firm and their rivals or supply chain counterparties. More specifically, they investigate the effects of bankruptcy announcements on the equity value of the bankrupt firm’s competitors (Lang and Stulz, 1992), and those of both its customers and suppliers (Hertzel et al., 2008). Although Kale and Shahrur (2007) investigate the relationship between corporate capital structure and the characteristics of suppliers and customers,5 they do not further explore credit risk related issues. Similar studies also include Titman and Wessels (1988) and Banerjee et al. (2008). In addition, Chen et al. (forthcoming) explore the relation between corporate bond yield spreads and supply chain characteristics from an information flow risk viewpoint. Itzkowitz (2011) investigates how the buyer–supplier relationship affects suppliers’ cash holdings.6 Therefore, according to the above discussions, few studies directly discuss how a firm’s supply chain characteristics affect its credit risk from the perspective of internal liquidity risk. According to Chen et al., 2011a and Chen et al., 2011b, internal liquidity risk is a type of flow-based credit risk, relating to a firm’s ability to meet its payment obligations, and therefore relying upon the firm’s capability in cash flow generating and external financing. This study views the internal liquidity risk “spreading” along supply chain as a type of cash flow variation risk transmitted through supply chains. Tsai (2008) provides an insightful look at supply chain cash flow risks and employs cash conversion cycle (or operating cycle) to describe the variations of product flow and cash flow. Hence, internal liquidity risks not only transmit the uncertainties of a firm’s suppliers’/customers’ available funding liquidity and payment obligations (Chen et al., 2011a and Chen et al., 2011b) but also deliver their operating variation risks (Tsai, 2008) to the firm. Therefore, through supply chain relationship, a firm’s suppliers’/customers’ internal liquidity risks affect the firm’s credit risk from the perspectives of both flow- and stock-based (structural) credit models. Moreover, this study also explores the existence of “financial bullwhip effect”, namely investigating whether or not the internal liquidity risk effect becomes greater upwardly along the supply chain counterparties. The “bullwhip effect” describes the phenomenon of the increasing propagation of operational volatility from bottom to top along a supply chain that is mainly referred to inventory and order flows (Lee et al., 1997 and Power, 2005). Many studies demonstrate the bullwhip effect in a supply chain from different perspectives, including information sharing (Lee et al., 2000), information distortion (Lee et al., 2004), bankruptcy events (Lee et al., 2004 and Mizgier et al., 2012) and systematic risk (Osadchiy et al., 2011).7 Most of them devote themselves to exploring the bullwhip effect from the perspectives of inventory flow risk and information flow risk rather than that of cash flow risk. For a firm’s internal liquidity risk (Chen et al., 2011a and Chen et al., 2011b), it is an appropriate proxy for a firm’s financial risk. Different from the previous studies, this study firstly explores the “financial bullwhip effect” on bondholders’ wealth along a supply chain by examining whether the internal liquidity risk effect on bond yield spreads becomes greater upwardly along the supply chain counterparties. This study empirically investigates the effects of a firm’s supply chain counterparties’ internal liquidity risks on the firm’s bond yield spreads when controlling for well-known variables affecting corporate credit risk, such as (operating) cash flow volatility, leverage, equity volatility, maturity, coupon, issuance amount, credit rating, information asymmetry, R&D intensity, and a firm’s industry concentration, by employing a preliminarily screened sample of 2022 yearly bond observations with supplier identifications and 1453 yearly bond observations with customer identifications from year 1997 through 2008. Empirical results of this study show that both suppliers’ and customers’ internal liquidity risks play an important role in explaining a firm’s bond yield spreads. When controlling for well-known variables, firm bond yield spreads increase 16.65 bps and 27.57 bps per standard deviation increase in suppliers’ and customers’ internal liquidity risks, respectively (the suppliers’ and customers’ internal liquidity risks are estimated by the standard deviations of their previous eight-quarter internal liquidity levels). The influences of a firm’s suppliers’ and customers’ internal liquidity risks on the firm’s bond yield spreads are roughly one ninth and one third of that of leverage ratio, respectively. Besides, the results reveal that the internal liquidity risk effects of customers on a firm’s bond yield spreads are more significant than those of suppliers. The empirical results also show that booming macroeconomic conditions significantly alleviate internal liquidity risk effects of suppliers, whereas they insignificantly affect those of customers. Especially, similar phenomenon occurs in a firm’s suppliers. A supplier’s bond yield spreads increase 21.47 bps and 33.73 bps per standard deviation increase in the internal liquidity risks of the supplier’s suppliers and the supplier’s customers, respectively. Combining with the previous results, the internal liquidity risk effect on bond yield spreads becomes greater upwardly along the supply chain counterparties, namely the financial bullwhip effect. Furthermore, this work includes the information flow risk (Chen et al., forthcoming) in the empirical investigations and the results reveal that the information flow risk and internal liquidity risk of suppliers both significantly explain a firm’s bond yield spreads. However, there exists a trade-off relationship between these two risk effects. In addition, this study considers the business relationship among a firm’s suppliers (or customers) into the research design to perform a more comprehensive investigation again. For example, firm B and firm C are firm A’s customers, and firm B is also firm C’s customer. Therefore, firm B may affects firm A not only through its direct trades with firm A but also indirectly through the trades between firm C and firm A. Ignoring the business relationship between firm B and firm C may underestimate firm B’s internal liquidity risk effect while may overestimate the firm C’s internal liquidity risk effect on firm A’s credit risk because firm B may also exert its effect on firm A through firm C. The empirical results do not change our previous findings when additionally considering business relationship between supply chain counterparties. The remainder of this paper is organized as follows. Section 2 introduces the measures of suppliers’/customers’ internal liquidity risk. Section 3 presents the hypotheses. Section 4 summarizes other major variables used in the empirical examinations. Section 5 presents and analyzes empirical results. Finally, Section 6 provides concluding remarks.

The recent financial tsunami aggravated by the contagion effects among firms reveals that individual firm’s liquidity crunch risk (flow-based credit risk) is transmitted through supply chain which connects the variations of inventory flows, cash flows and information flows among supply chain counterparties. This is the first study to explore the internal liquidity risk effects of a firm’s suppliers and customers on its bond yield spreads by using American data from 1997 to 2008. Empirical results of this study show that the internal liquidity risks of suppliers and customers both positively relate to a firm’s bond yield spreads when controlling for cash flow volatility, credit ratings, and other well-known variables. Additionally, the internal liquidity risk effects of customers on bond yield spreads are larger than those of suppliers. The empirical results also show that a high economic growth rate significantly alleviates the internal liquidity risk effects of suppliers, whereas it insignificantly affects those of customers. Moreover, this research finds a financial bullwhip effect that the internal liquidity risk effect becomes greater upwardly along the supply chain counterparties. The results with the consideration of the business relationship among supply chain counterparties are similar. This work also follows Chen et al. (forthcoming) to include the information flow risk effect on bond yield spreads and the results reveal that the information flow risk and the internal liquidity risk of suppliers both have significant effects on bond yield spreads. However, this study finds there is a trade-off relationship between the effects of suppliers’ information flow risk and internal liquidity risks on a firm’s bond yield spreads. Finally, supply chain internal liquidity risks help traditional structural models explain corporate credit risk (and also corporate bond yield spreads). The above results are robust when additionally controlling for credit ratings.