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Article: Are Financial Constraints Priced? Evidence from Textual Analysis
| Title | Are Financial Constraints Priced? Evidence from Textual Analysis |
|---|---|
| Authors | |
| Issue Date | 2018 |
| Publisher | Oxford University Press. The Journal's web site is located at http://rfs.oxfordjournals.org/ |
| Citation | The Review of Financial Studies, 2018, v. 31 n. 7, p. 2693-2728 How to Cite? |
| Abstract | We construct novel measures of financial constraints using textual analysis of firms' annual reports and investigate their impact on stock returns. Our three measures capture access to equity markets, debt markets, and external financial markets in general. In all cases, constrained firms earn higher returns, which move together and cannot be explained by the Fama and French (2015) factor model. A trading strategy based on financial constraints is most profitable for large, liquid stocks. Our results are strongest when we consider debt constraints. A portfolio based on this measure earns an annualized risk-adjusted excess return of 6.5%. |
| Persistent Identifier | http://hdl.handle.net/10722/261048 |
| ISSN | 2023 Impact Factor: 6.8 2023 SCImago Journal Rankings: 17.654 |
| SSRN | |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Buehlmaier, M | - |
| dc.contributor.author | Whited, TM | - |
| dc.date.accessioned | 2018-09-14T08:51:34Z | - |
| dc.date.available | 2018-09-14T08:51:34Z | - |
| dc.date.issued | 2018 | - |
| dc.identifier.citation | The Review of Financial Studies, 2018, v. 31 n. 7, p. 2693-2728 | - |
| dc.identifier.issn | 0893-9454 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/261048 | - |
| dc.description.abstract | We construct novel measures of financial constraints using textual analysis of firms' annual reports and investigate their impact on stock returns. Our three measures capture access to equity markets, debt markets, and external financial markets in general. In all cases, constrained firms earn higher returns, which move together and cannot be explained by the Fama and French (2015) factor model. A trading strategy based on financial constraints is most profitable for large, liquid stocks. Our results are strongest when we consider debt constraints. A portfolio based on this measure earns an annualized risk-adjusted excess return of 6.5%. | - |
| dc.language | eng | - |
| dc.publisher | Oxford University Press. The Journal's web site is located at http://rfs.oxfordjournals.org/ | - |
| dc.relation.ispartof | The Review of Financial Studies | - |
| dc.rights | This is an electronic version of an article published in The Review of Financial Studies, 2018, v. 31 n. 7, p. 2693-2728 | - |
| dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
| dc.title | Are Financial Constraints Priced? Evidence from Textual Analysis | - |
| dc.type | Article | - |
| dc.identifier.email | Buehlmaier, M: buehl@hku.hk | - |
| dc.identifier.authority | Buehlmaier, M=rp01305 | - |
| dc.description.nature | preprint | - |
| dc.identifier.doi | 10.1093/rfs/hhy007 | - |
| dc.identifier.scopus | eid_2-s2.0-85053251071 | - |
| dc.identifier.hkuros | 290255 | - |
| dc.identifier.volume | 31 | - |
| dc.identifier.issue | 7 | - |
| dc.identifier.spage | 2693 | - |
| dc.identifier.epage | 2728 | - |
| dc.identifier.isi | WOS:000451283500007 | - |
| dc.publisher.place | United Kingdom | - |
| dc.identifier.ssrn | 2435116 | - |
| dc.identifier.issnl | 0893-9454 | - |