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摘要
En 中文
We study the effect of financial constraints on risk and expected returns by extending the investment-based asset pricing framework to incorporate retained earnings, debt, costly equity, and collateral constraints on debt capacity. Quantitative results show that more financially constrained firms are riskier and earn higher expected stock returns than less financially constrained firms. Intuitively, by preventing firms from financing all desired investments, collateral constraints restrict the flexibility of firms in smoothing dividend streams in the face of aggregate shocks. The inflexibility mechanism also gives rise to a convex relation between market leverage and expected stock returns.
Keyword:
BOOK-TO-MARKET
ASSET PRICING IMPLICATIONS
CASH FLOW SENSITIVITIES
CORPORATE-INVESTMENT
CAPITAL STRUCTURE
BUSINESS CYCLES
CROSS-SECTION
DISTRESS
DEBT
RISK
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9.5
论文数:
4.0K
被引数:
5.0W
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JOURNAL OF FINANCEIF9.5
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