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2 edition of Financial constraints and stock returns found in the catalog.

Financial constraints and stock returns

Owen A. Lamont

Financial constraints and stock returns

by Owen A. Lamont

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Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Subjects:
  • Stocks -- Prices -- United States -- Econometric models.,
  • Rate of return -- United States -- Econometric models.,
  • Corporations -- United States -- Finance -- Econometric models.

  • Edition Notes

    StatementOwen Lamont, Christopher Polk, Jesús Saá-Requejo.
    SeriesNBER working paper series -- working paper 6210, Working paper series (National Bureau of Economic Research) -- working paper no. 6210.
    ContributionsPolk, Christopher., Saá-Requejo, Jesús., National Bureau of Economic Research.
    The Physical Object
    Pagination47, [2] p. :
    Number of Pages47
    ID Numbers
    Open LibraryOL22404949M

    economies Article The Impact of Financial Constraints on the Convertible Bond Announcement Returns Chong-Chuo Chang 1, Tai-Yung Kam 2,*, Chih-Chung Chien 3 and Wan Ting Su 3 1 Department of Banking and Finance, National Chi Nan University, Nantou County , Taiwan; [email protected] 2 International College, Guangzhou College of Commerce, Guangzhou , ChinaAuthor: Chong-Chuo Chang, Tai-Yung Kam, Chih-Chung Chien, Wan Ting Su. stock returns, the paper emphasizes on the impact of financial constraints on firms’ total risk. Whether financial constraints as a whole is a systematic factor or an idiosyncratic risk, firms with higher degree of financial constraints would have higher total risk. In the paper, I use two measures of firm-level financial constraints. One is.

    constraints are necessary—firms must not be allowed to pollute the air and water excessively, engage in unfair employment practices, or create monopolies that exploit consumers. So, the view today is that management should try to maximize stock values, but subject to government-imposed furniture-of-ironforge.com par-. As of now, very few research studies have examined the effects of financial constraints on the short- and long-term performances of companies after their announcement of convertible bonds. Due to asymmetric information, previous studies consider issuance of convertible bonds as negative news. As a result, the short- and long-term performances of companies generally decline after their Author: Chong-Chuo Chang, Tai-Yung Kam, Chih-Chung Chien, Wan Ting Su.

    The variances of stock prices of firms that are facing financial constraints, could logically be reflected in stock returns. If financial constraints are as a characteristic of a firm value, then the changes in their intensity should be reflected in the stock returns. However, if financial constrained firms are subjected to shock, then there Author: Azam Shahdoosti, Ali Homayoon, Zekvan Imani. On the SEO’s issue day, stock prices decline significantly only for the Non-Eligible stock sample and the difference in the ID price reaction between the two types of stocks is economically and statistically significant. In Miller’s () model, the divergence of opinion, in and of itself, does not affect stock returns in the absence of short-.


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Financial constraints and stock returns by Owen A. Lamont Download PDF EPUB FB2

Jun 21,  · If financial constraints are an important determinant of the value of a corporation, changes in their intensity should be reflected in stock returns. If changes in financial constraints are solely a firm-specific, idiosyncratic phenomenon, then constrained firms’ returns have no reason to move together, controlling for other sources of common Cited by: In this study, we examine whether the mixed relations between financial constraints and stock returns are associated with stock liquidity and the pricing of stock liquidity across financially constrained and unconstrained firms.

Financial constraints and stock liquidity Author: Xiafei Li, Di Luo. Financial constraints and stock returns book Constraints and Stock Returns Owen Lamont, Christopher Polk, Jesus Saa-Requejo. NBER Working Paper No. Issued in October NBER Program(s):Asset Pricing Program, Monetary Economics Program We test whether the impact of financial constraints on firm value is.

I find a robust empirical relation between financial constraints and stock returns, primarily among R&D-intensive firms. Moreover, R&D predicts returns only among financially constrained firms. This evidence suggests that financial constraints potentially drive the positive R&D-return furniture-of-ironforge.com by: Note: Citations are based on reference standards.

However, formatting rules can vary widely between applications and fields of interest or study. The specific requirements or preferences of your reviewing publisher, classroom teacher, institution or organization should be applied.

Get this from a library. Financial Constraints and Stock Returns. [Owen Lamont; Christopher Polk; Jesus Saa-Requejo] -- We test whether the impact of financial constraints on firm value is observable in asset" returns.

We form portfolios of firms based on observable characteristics related to. We test whether the impact of financial constraints on firm value is observable in stock returns. We form portfolios of firms based on observable characteristics related to financial constraints. Mar 13,  · The findings suggest that cross‐sectional differences in corporate investment behavior arising from financial constraints, predicted by theories of imperfect capital markets and supported by empirical evidence, are reflected in the stock returns of manufacturing furniture-of-ironforge.com by: Aug 29,  · Abstract.

We test whether the impact of financial constraints on firm value is observable in asset" returns. We form portfolios of firms based on observable characteristics related to financial" constraints, and test for common covariation in the stock returns of these furniture-of-ironforge.com by: This evidence of common variation in stock returns associated with financial constraints points to a financial constraints factor in stock returns.

Accordingly, we then examine whether the financial constraints factor reflects known empirical factors related to Cited by: The findings strongly support the hypothesis.

Debt capacity is positively associated with stock returns in the cross section of financially constrained firms, after controlling for theoretical and empirical risk proxies such as beta, size, book-to-market, and momentum.

The positive marginal impact of debt capacity is also economically furniture-of-ironforge.com by: Financial Constraints and Stock Returns in oil prices, one would run a regression of the oil factor (constructed from oil firms' stock returns) on oil prices. This article is organized as follows.

In Section 1, we review relevant work. In Section 2, we describe our sample of growing manufacturing firms and our definition of financial constraints. Customer Capital, Financial Constraints and Stock Returns Winston Wei Dou Yan Ji David Reibstein Wei Wu January 19, Abstract We develop an asset pricing model.

We test whether the impact of financial constraints on firm value is observable in stock returns. We form portfolios of firms based on observable characteristics related to financial constraints and test for common variation in stock returns.

Financially constrained firms' stock returns move together over time, suggesting that constrained firms are subject to common shocks. 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. Financial Constraints, Debt Capacity, and the Cross Section of Stock Returns book-to-market ratio, asset growth rate and equity size.

The success of our model is attributed to our innovative. cial constraints and test for common variation in stock returns. Financially constrained NBER Monetary Economics, the Society for Financial Studies/University of Texas, and the University of British Columbia for helpful furniture-of-ironforge.com thankAlon Brav, Mark Carhart, Eugene book-to-market factor, and the size factor) subsume the constraints.

Financially Constrained Stock Returns DMITRY LIVDAN, HORACIO SAPRIZA, and LU ZHANG∗ ABSTRACT We study the effect of financial constraints on risk and expected returns by extend-ing the investment-based asset pricing framework to incorporate retained earnings, debt, costly equity, and collateral constraints on debt capacity.

Quantitative results. Financial constraints seem unrelated to stock returns among low-R&D firms, a finding that is consistent with the model as well as other existing literature.

Similarly, the strength of the relation between R&D and returns increases with financial constraints. In fact, there is no significant relation between R&D and stock returns among. find that debt capacity is a significant determinant of stock returns only in the cross section of financially constrained firms, after controlling for beta, size, book-to-market, leverage, and momentum.

The findings suggest that cross-sectional differences in cor porate investment behavior arising from financial constraints, predicted by theories.

Our three measures capture access to equity markets, debt markets, and external financial markets in general.

In all cases, constrained firms earn higher returns, which move together and cannot be explained by the Fama and French () factor model. A trading strategy based on financial constraints is most profitable for large, liquid stocks.We test whether the impact of financial constraints on firm value is observable in asset" returns.

We form portfolios of firms based on observable characteristics related to financial" constraints, and test for common covariation in the stock returns of these firms.

Using several" different measures of financial constraints, we find that financially constrained firms' stock" returns move.between financial distress and stock returns.1 The work in this area has concentrated on the hypothesis that financial distress can explain the significance of the book to market factor.

Instead, we examine the effects of financial constraints on returns, finding that it explains some of .