Asset pricing implications of firms' financing constraints

• 成果类型: Article
• 署名作者: Gomes, Joao F.; Yaron, Amir; Zhang, Lu
• 署名单位: University of Pennsylvania; National Bureau of Economic Research; University of Rochester
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhj040
• 发表日期: 2006
• 页码: 1321
• 关键词: monetary-policy; credit conditions; business cycles; stock returns; AGENCY COSTS; INVESTMENT; inflation; BEHAVIOR

摘要

We use a production-based asset pricing model to investigate whether financing constraints are quantitatively important for the cross-section of returns. Specifically, we use GMM to explore the stochastic Euler equation imposed on returns by optimal investment. Our methods can identify the impact of financial frictions on the stochastic discount factor with cyclical variations in cost of external funds. We find that financing frictions provide a common factor that improves the pricing of cross-sectional returns. Moreover, the shadow cost of external funds exhibits strong procyclical variation, so that financial frictions are more important in relatively good economic conditions.