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Conference Paper: Looking for risk in words: a narrative approach to measuring the pricing implications of financial constraints

TitleLooking for risk in words: a narrative approach to measuring the pricing implications of financial constraints
Authors
KeywordsFinancial constraints
Textual analysis
Market efficiency
Issue Date2014
Citation
The 41st Annual Meeting of the European Finance Association (EFA), Lugano, Switzerland, 27-30 August 2014. How to Cite?
AbstractWe construct a novel measure of financial constraints and investigate its impact on stock returns. Unlike other financial constraints measures, ours is consistent with firm characteristics of constrained firms. We find that constrained firms move together. The variation of a financial constraints factor cannot be explained by the Fama-French and momentum factors, earning an annualized risk-adjusted excess return of 7%. A stock trading strategy on financial constraints is most profitable for large and liquid stocks, and reacts most strongly to financial constraints risk from debt issuance.
DescriptionParallel Session: Text Analysis 2
Persistent Identifierhttp://hdl.handle.net/10722/201723

 

DC FieldValueLanguage
dc.contributor.authorBuehlmaier, M-
dc.contributor.authorWhited, TM-
dc.date.accessioned2014-08-21T07:38:43Z-
dc.date.available2014-08-21T07:38:43Z-
dc.date.issued2014-
dc.identifier.citationThe 41st Annual Meeting of the European Finance Association (EFA), Lugano, Switzerland, 27-30 August 2014.-
dc.identifier.urihttp://hdl.handle.net/10722/201723-
dc.descriptionParallel Session: Text Analysis 2-
dc.description.abstractWe construct a novel measure of financial constraints and investigate its impact on stock returns. Unlike other financial constraints measures, ours is consistent with firm characteristics of constrained firms. We find that constrained firms move together. The variation of a financial constraints factor cannot be explained by the Fama-French and momentum factors, earning an annualized risk-adjusted excess return of 7%. A stock trading strategy on financial constraints is most profitable for large and liquid stocks, and reacts most strongly to financial constraints risk from debt issuance.-
dc.languageeng-
dc.relation.ispartofAnnual Meeting of the European Finance Association (EFA)-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectFinancial constraints-
dc.subjectTextual analysis-
dc.subjectMarket efficiency-
dc.titleLooking for risk in words: a narrative approach to measuring the pricing implications of financial constraints-
dc.typeConference_Paper-
dc.identifier.emailBuehlmaier, M: buehl@hku.hk-
dc.identifier.authorityBuehlmaier, M=rp01305-
dc.description.naturepostprint-
dc.identifier.hkuros234693-

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