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Conference Paper: Financial constraints
| Title | Financial constraints |
|---|---|
| Other Titles | Looking for risk in words: a narrative approach to measuring the pricing implications of financial constraints |
| Authors | |
| Keywords | Financial constraints Textual analysis Market efficiency |
| Issue Date | 2014 |
| Publisher | Social Science Electronic Publishing, Inc.. |
| Citation | The 3rd Annual CQAsia Conference, Hong Kong, 5-6 November 2014. How to Cite? |
| Abstract | We 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. |
| Description | Simon School Working Paper No. FR 14-11 |
| Persistent Identifier | http://hdl.handle.net/10722/213635 |
| SSRN |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Buehlmaier, M | - |
| dc.contributor.author | Whited, TM | - |
| dc.date.accessioned | 2015-08-07T07:55:11Z | - |
| dc.date.available | 2015-08-07T07:55:11Z | - |
| dc.date.issued | 2014 | - |
| dc.identifier.citation | The 3rd Annual CQAsia Conference, Hong Kong, 5-6 November 2014. | - |
| dc.identifier.uri | http://hdl.handle.net/10722/213635 | - |
| dc.description | Simon School Working Paper No. FR 14-11 | - |
| dc.description.abstract | We 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.language | eng | - |
| dc.publisher | Social Science Electronic Publishing, Inc.. | - |
| dc.relation.ispartof | CQAsia 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.subject | Financial constraints | - |
| dc.subject | Textual analysis | - |
| dc.subject | Market efficiency | - |
| dc.title | Financial constraints | - |
| dc.title.alternative | Looking for risk in words: a narrative approach to measuring the pricing implications of financial constraints | - |
| dc.type | Conference_Paper | - |
| dc.identifier.email | Buehlmaier, M: buehl@hku.hk | - |
| dc.identifier.authority | Buehlmaier, M=rp01305 | - |
| dc.description.nature | link_to_OA_fulltext | - |
| dc.identifier.doi | 10.2139/ssrn.2435116 | - |
| dc.identifier.hkuros | 247722 | - |
| dc.identifier.eissn | 1556-5068 | - |
| dc.identifier.ssrn | 2435116 | - |
| dc.identifier.issnl | 1556-5068 | - |