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Conference Paper: Financial constraints

TitleFinancial constraints
Other TitlesLooking for risk in words: a narrative approach to measuring the pricing implications of financial constraints
Authors
KeywordsFinancial constraints
Textual analysis
Market efficiency
Issue Date2014
PublisherSocial Science Electronic Publishing, Inc..
Citation
The 3rd Annual CQAsia Conference, Hong Kong, 5-6 November 2014. 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.
DescriptionSimon School Working Paper No. FR 14-11
Persistent Identifierhttp://hdl.handle.net/10722/213635
SSRN

 

DC FieldValueLanguage
dc.contributor.authorBuehlmaier, M-
dc.contributor.authorWhited, TM-
dc.date.accessioned2015-08-07T07:55:11Z-
dc.date.available2015-08-07T07:55:11Z-
dc.date.issued2014-
dc.identifier.citationThe 3rd Annual CQAsia Conference, Hong Kong, 5-6 November 2014.-
dc.identifier.urihttp://hdl.handle.net/10722/213635-
dc.descriptionSimon School Working Paper No. FR 14-11-
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.publisherSocial Science Electronic Publishing, Inc..-
dc.relation.ispartofCQAsia Annual Conference-
dc.rights© 2011 Social Science Electronic Publishing, Inc. All Rights Reserved. For personal & noncommercial use apply only to specific documents and use of specific SSRN-provided statistics and other information.-
dc.subjectFinancial constraints-
dc.subjectTextual analysis-
dc.subjectMarket efficiency-
dc.titleFinancial constraints-
dc.title.alternativeLooking 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.naturelink_to_OA_fulltext-
dc.identifier.doi10.2139/ssrn.2435116-
dc.identifier.hkuros247722-
dc.identifier.ssrn2435116-

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