CAN FINANCING CONSTRAINTS EXPLAIN THE ASSET PRICING PUZZLES IN PRODUCTION ECONOMIES?

• 成果类型: Article
• 署名作者: Smith, Katherine A.
• 署名单位: United States Department of Defense; United States Navy; United States Naval Academy
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2011.00648.x
• 发表日期: 2011
• 页码: 739-765
• 关键词: business cycles; returns; INVESTMENT; prices

摘要

General Equilibrium asset pricing models have a difficult time simultaneously delivering a sizable equity premium, a low and counter cyclical real risk free rate, and cyclical variation in return volatility. To explain these stylized facts, this article introduces occasionally binding financing constraints that impede producers' ability to invest. The financial frictions drive a wedge between the marginal rate of substitution and firms' internal stochastic discount factors so that the shadow value of capital is not tied to the average price of capital. The model delivers higher and more volatile asset returns during recessions as well as a counter cyclical equity premium.