G2TT
来源类型Discussion paper
规范类型论文
来源IDDP3563
DP3563 The Structure of Corporate ownership in Privatized Utilities
Francesco Trillas
发表日期2002-09-20
出版年2002
语种英语
摘要We incorporate costly external finance in a production based asset pricing model and investigate whether financing frictions are quantitatively important for pricing a cross-section of expected returns. We show that the common assumptions about the nature of the financing frictions are captured by a simple ?financing cost? function, equal to the product of the financing premium and the amount of external finance. This approach provides a tractable framework to examine the role of financing frictions in pricing across-section of asset returns. Using the Generalized Method of Moments (GMM) we estimate a pricing kernel that incorporates the effects of financing constraints on investment behavior. The key ingredients in this pricing kernel depend not only on ?fundamentals?, such as profits and investment, but also on the financing variables. Our findings, however, suggest that the role played by financing frictions is fairly negligible, unless the premium on external funds is procyclical, a property not evident in the data and not satisfied by most models of costly external finance.
主题Financial Economics ; International Macroeconomics
关键词Production based asset pricing Financing constraints Financing premium
URLhttps://cepr.org/publications/dp3563
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/532569
推荐引用方式
GB/T 7714
Francesco Trillas. DP3563 The Structure of Corporate ownership in Privatized Utilities. 2002.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Francesco Trillas]的文章
百度学术
百度学术中相似的文章
[Francesco Trillas]的文章
必应学术
必应学术中相似的文章
[Francesco Trillas]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。