Financial Constraints Risk
Financial Constraints Risk
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DOI：
10.2139/ssrn.410816
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发表时间：
2005-05
期刊：
影响因子：
--
通讯作者：
Toni M. Whited;Guojun Wu
中科院分区：
文献类型：
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作者：
Toni M. Whited;Guojun Wu
通过对投资欧拉方程的广义矩量法（GMM）估计，构造了一个企业外部融资约束指标。与常用的KZ指数不同，我们的指数与外部融资约束相关的企业特征相一致。受约束的公司的回报是一起移动的，这表明存在一个财务约束因素。这一因素获得了积极但微不足道的平均回报。这一因素的许多变化不能用法马-弗伦奇和动量因素来解释。对我们的指数和其他公司特征的回报率的横截面回归表明，受约束的公司获得更高的回报，财务约束效应主导了规模效应。版权所有2006年，牛津大学出版社。
We construct an index of firms' external finance constraints via generalized method of moments (GMM) estimation of an investment Euler equation. Unlike the commonly used KZ index, ours is consistent with firm characteristics associated with external finance constraints. Constrained firms' returns move together, suggesting the existence of a financial constraints factor. This factor earns a positive but insignificant average return. Much of the variation in this factor cannot be explained by the Fama--French and momentum factors. Cross-sectional regressions of returns on our index and other firm characteristics show that constrained firms earn higher returns and that the financial-constraints effect dominates the size effect. Copyright 2006, Oxford University Press.