External Equity Financing Shocks, Financial Flows, and Asset Prices

• 成果类型: Article
• 署名作者: Belo, Frederico; Lin, Xiaoji; Yang, Fan
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; University of Connecticut
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy128
• 发表日期: 2019
• 页码: 3500
• 关键词: ENDOGENOUS LIQUIDITY; cross-section; AGENCY COSTS; net worth; STOCK; INVESTMENT; RISK; issues; fluctuations; decisions

摘要

We develop a dynamic model with time variation in external equity financing costs and show that variation in these costs is important for the model to quantitatively capture the joint dynamics of firms' asset prices, real quantities, and financial flows in the U.S. economy. Growth firms and high investment firms are less risky in equilibrium, because they can substitute more easily debt financing for equity financing when it becomes more costly to raise external equity, which are high marginal utility states. Using a model-implied proxy of aggregate equity issuance cost shocks, we provide empirical support for the model's economic mechanism.