Are Financial Constraints Priced? Evidence from Firm Fundamentals and Stock Returns

被引：51

作者：

Campello, Murillo ^{[1
]}

Chen, Long ^{[2
]}

机构：

[1] Univ Illinois, Dept Finance, Chicago, IL 60680 USA

[2] Washington Univ, John M Olin Sch Business, St Louis, MO 63130 USA

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2010年 / 42卷 / 06期

关键词：

financial constraints; macroeconomic shocks; systematic risk; equity returns; EXPECTED RETURN; BUSINESS CYCLES; BEHAVIOR; SIZE;

D O I：

10.1111/j.1538-4616.2010.00326.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using comprehensive firm- and aggregate-level data, this paper studies the real and financial implications of capital market imperfections. We first examine whether financially constrained firms' business fundamentals (capital spending and operating earnings) are more sensitive to macroeconomic movements than unconstrained firms' fundamentals. We then examine whether financial constraint "return factors" respond to macroeconomic shocks in tandem with the responses from business fundamentals. The evidence in this paper points to financial constraints affecting both fundamental quantities and asset returns.

引用

页码：1185 / 1198

页数：14