Financial constraints and asset pricing: comprehensive evidence from London Stock Exchange
研究了1988-2013年伦敦证券交易所中融资约束风险是否被定价，发现持有融资约束严重公司的股票不仅没有获得更高回报，反而显著跑输融资约束较轻的公司。
This study provides comprehensive evidence on the pricing of financial constraints (FC) risk on London Stock Exchange during the period 1988–2013. Utilizing a large number of proxies for FC, we find that investors are not compensated with higher premia for holding shares of financially constrained firms. To the contrary, in most of the cases, the most constrained firms significantly underperform, both statistically and economically, the least constrained ones. Focussing on the Whited–Wu index to construct a zero-cost FC factor that goes long the most constrained firms and sells short the least constrained ones, we find that this factor carries a significantly negative premium and it is priced in the cross-section over and above the commonly used risk factors.