Financially Constrained Stock Returns

• 成果类型: Article
• 署名作者: Livdan, Dmitry; Sapriza, Horacio; Zhang, Lu
• 署名单位: University of California System; University of California Berkeley; University of Michigan System; University of Michigan; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01481.x
• 发表日期: 2009
• 页码: 1827-1862
• 关键词: BOOK-TO-MARKET; Asset pricing implications; cash flow sensitivities; corporate-investment; capital structure; business cycles; cross-section; distress; debt; RISK

摘要

We study the effect of financial constraints on risk and expected returns by extending the investment-based asset pricing framework to incorporate retained earnings, debt, costly equity, and collateral constraints on debt capacity. Quantitative results show that more financially constrained firms are riskier and earn higher expected stock returns than less financially constrained firms. Intuitively, by preventing firms from financing all desired investments, collateral constraints restrict the flexibility of firms in smoothing dividend streams in the face of aggregate shocks. The inflexibility mechanism also gives rise to a convex relation between market leverage and expected stock returns.