Are Financial Constraints Priced? Evidence from Textual Analysis

• 成果类型: Article
• 署名作者: Buehlmaier, Matthias M. M.; Whited, Toni M.
• 署名单位: University of Hong Kong; University of Michigan System; University of Michigan; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy007
• 发表日期: 2018
• 页码: 2693
• 关键词: LONG-RUN PERFORMANCE; share issuance; cross-section; default risk; cash flow; INVESTMENT; returns; equity; distress; anomalies

摘要

We construct novel measures of financial constraints using textual analysis of firms' annual reports and investigate their impact on stock returns. Our three measures capture access to equity markets, debt markets, and external financial markets in general. In all cases, constrained firms earn higher returns, which move together and cannot be explained by the Fama and French (2015) factor model. A trading strategy based on financial constraints is most profitable for large, liquid stocks. Our results are strongest when we consider debt constraints. A portfolio based on this measure earns an annualized risk-adjusted excess return of 6.5%.