摘要： •We investigate tail risk spillovers from the financial sector to nonfinancial firms.•Cash holdings act as a buffer in mitigating these spillovers.•Greater cash holdings have a significant effect for financially constrained firms.•Constrained firms are defined as those with high hedging needs and no ratings. This paper investigates tail risk spillovers from the financial sector to real economy firms in the United States and the United Kingdom from 2003 to 2011. We measure these spillovers by evaluating the number of joint occurrences of extreme negative returns in a nonfinancial firm conditional on an extreme negative return in the financial sector. Such spillovers increased dramatically in the 2007–2009 crisis. We also examine whether cash holdings act as a buffer in mitigating these spillovers. Our results indicate that greater cash holdings are associated with lower levels of tail risk spillovers for financially constrained firms and more strongly so among constrained firms with high hedging needs and no ratings (i.e., firms with restricted external financing sources). Overall, our findings support the view that the greater cash holdings of constrained firms act as a shock absorber against costly external financing. 出版者： Elsevier B.V 出版日期： 2016-09-01 出處： Journal of multinational financial management, 2016-09, Vol.36, p.30-48 版權： 2016 Elsevier B.V. 識別號： ISSN: 1042-444X 識別號： EISSN: 1873-1309 識別號： DOI: 10.1016/j.mulfin.2016.07.001
