Are Financial Constraints Priced? Evidence from Firm Fundamentals and Stock Returns
利用公司和总量数据，研究财务约束公司的基础业务（资本支出和经营利润）对宏观经济波动的敏感性，以及财务约束回报因子如何与基本面同步响应宏观经济冲击。
Using comprehensive firm‐ and aggregate‐level data, this paper studies the real and financial implications of capital market imperfections. We first examine whether financially constrained firms' business fundamentals (capital spending and operating earnings) are more sensitive to macroeconomic movements than unconstrained firms' fundamentals. We then examine whether financial constraint “return factors” respond to macroeconomic shocks in tandem with the responses from business fundamentals. The evidence in this paper points to financial constraints affecting both fundamental quantities and asset returns.