How Do Financing Constraints Affect Firms' Equity Volatility?

• 成果类型: Article
• 署名作者: Carvalho, Daniel
• 署名单位: Indiana University System; IU Kelley School of Business; Indiana University Bloomington
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12610
• 发表日期: 2018
• 页码: 1139-1182
• 关键词: STOCK RETURNS; idiosyncratic risk; corporate-investment; individual stocks; DEBT CAPACITY; cash; options; IMPACT; trend

摘要

Theory suggests that financing frictions can have significant implications for equity volatility by shaping firms' exposure to economic risks. This paper provides evidence that an important determinant of higher equity volatility among research and development (R&D)-intensive firms is fewer financing constraints on firms' ability to access growth options. I provide evidence for this effect by studying how persistent shocks to the value of firms' tangible assets (real estate) affect their subsequent equity volatility. The analysis addresses concerns about the identification of these balance sheet effects and shows that these effects are consistent with broader patterns on the equity volatility of R&D-intensive firms.