| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9365 |
| 来源ID | Working Paper 9365 |
| Asset Pricing Implications of Firms' Financing Constraints | |
| Joao Gomes; Amir Yaron; Lu Zhang | |
| 发表日期 | 2002-12-09 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | We incorporate costly external finance in an investment-based asset pricing model and investigate whether financing frictions are quantitatively important for pricing a cross-section of expected returns. We show that 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 for empirical analysis. Using 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, such as default premium and the amount of external financing. 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. |
| URL | https://www.nber.org/papers/w9365 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566984 |
| 推荐引用方式 GB/T 7714 | Joao Gomes,Amir Yaron,Lu Zhang. Asset Pricing Implications of Firms' Financing Constraints. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9365.pdf（423KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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