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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 Date2015
Citation
The 2015 Annual Conference of the Western Finance Association (WFA), Seattle, WA., 17-20 June 2015. How to Cite?
AbstractWe construct a novel measure of financial constraints using textual analysis 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' returns 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 based on financial constraints is most profitable for large and liquid stocks, and when the financial constraints are measured by access to debt markets instead of equity markets.
Persistent Identifierhttp://hdl.handle.net/10722/213634

 

DC FieldValueLanguage
dc.contributor.authorBuehlmaier, M-
dc.contributor.authorWhited, TM-
dc.date.accessioned2015-08-07T07:50:12Z-
dc.date.available2015-08-07T07:50:12Z-
dc.date.issued2015-
dc.identifier.citationThe 2015 Annual Conference of the Western Finance Association (WFA), Seattle, WA., 17-20 June 2015.-
dc.identifier.urihttp://hdl.handle.net/10722/213634-
dc.description.abstractWe construct a novel measure of financial constraints using textual analysis 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' returns 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 based on financial constraints is most profitable for large and liquid stocks, and when the financial constraints are measured by access to debt markets instead of equity markets.-
dc.languageeng-
dc.relation.ispartofAnnual Conference of the Western Finance Association (WFA)-
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.hkuros247721-

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