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Are Financial Constraints Priced? Evidence from Firm Fundamentals and Stock Returns
journal contribution
posted on 2011-03-01, 00:00 authored by Murillo Campello, Long ChenUsing comprehensive firm- and aggregate-level data, this paper studies the real and financial implications of capital market imperfections. We first examine whether financially constrained firms' business fundamentals (capital spending and operating earnings) are more sensitive to macroeconomic movements than unconstrained firms' fundamentals. We then examine whether financial constraint "return factors" respond to macroeconomic shocks in tandem with the responses from business fundamentals. The evidence in this paper points to financial constraints affecting both fundamental quantities and asset returns.
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The definitive version is available at DOI: 10.1111/j.1538-4616.2010.00326.xPublisher
Wiley-BlackwellLanguage
- en_US
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0022-2879Issue date
2010-09-01Usage metrics
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