Financially Constrained Stock Returns
扩展了基于投资的资产定价模型，纳入留存收益、债务、昂贵股权和抵押约束，发现融资约束更强的公司风险更高、预期股票收益更高，原因在于抵押约束限制了公司平滑股息的能力。
ABSTRACT We study the effect of financial constraints on risk and expected returns by extending the investment‐based asset pricing framework to incorporate retained earnings, debt, costly equity, and collateral constraints on debt capacity. Quantitative results show that more financially constrained firms are riskier and earn higher expected stock returns than less financially constrained firms. Intuitively, by preventing firms from financing all desired investments, collateral constraints restrict the flexibility of firms in smoothing dividend streams in the face of aggregate shocks. The inflexibility mechanism also gives rise to a convex relation between market leverage and expected stock returns.