Financially Constrained Stock Returns
dc.contributor.author | Zhang, Lu | |
dc.contributor | Livdan, Dmitry | |
dc.contributor | Sapriza, Horacio | |
dc.date.accessioned | 2006-10-12T19:30:45Z | |
dc.date.available | 2006-10-12T19:30:45Z | |
dc.date.issued | 2006-07 | |
dc.identifier | 1048 | en |
dc.identifier.uri | https://hdl.handle.net/2027.42/48728 | |
dc.description.abstract | More financially constrained firms are riskier and earn higher expected returns than less financially constrained firms, although this effect can be subsumed by size and book-to-market. Further, because the stochastic discount factor makes capital investment more procyclical, financial constraints are more binding in economic booms. These insights arise from two dynamic models. In Model 1, firms face dividend nonnegativity constraints without any access to external funds. In Model 2, firms can retain earnings, raise debt and equity, but face collateral constraints on debt capacity. Despite their diverse structures, the two models share largely similar predictions. | en |
dc.format.extent | 399540 bytes | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en_US | |
dc.subject | Financial Constraints | en |
dc.subject | debt capacity | en |
dc.subject | stochastic discount factor | en |
dc.subject | expected returns | en |
dc.subject.classification | Finance | en |
dc.title | Financially Constrained Stock Returns | en |
dc.type | Working Paper | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbtoplevel | Business | en_US |
dc.contributor.affiliationum | Ross School of Business | en |
dc.contributor.affiliationother | Texas A&M University - Mays Business School | en |
dc.contributor.affiliationother | Rutgers University - Finance & Economics | en |
dc.contributor.affiliationumcampus | Ann Arbor | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/48728/1/1048-Lu.pdf | en_US |
dc.owningcollname | Business, Stephen M. Ross School of - Working Papers Series |
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