Financial constraints, cash flow timing patterns, and asset prices

• 成果类型: Article
• 署名作者: Hu, Weiping; Li, Kai; Zhang, Xiao
• 署名单位: Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University; Central University of Finance & Economics
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103855
• 发表日期: 2024
• 关键词: Cash flows; Cash flow timing patterns; asset prices; Equity financing costs

摘要

We show that firms collect almost 70% of their cash flows in the second half of the fiscal year, and that firms that collect more cash by year-end earn a 6.8% higher per annum risk premium and save more cash. We rationalize these facts in a quantitative investment-based asset pricing model. Immediate cash payments negatively affect profitability, but reduce equity financing costs by increasing information transparency. Financially constrained firms optimally collect more cash at year-end when firms' performance attracts more attention and information transparency is more valuable. Such behavior further results in greater exposure to aggregate productivity and financial shocks.