Asset Pricing Implications of Firms’ Financing Constraints
用生产基础的资产定价模型，研究融资约束对股票截面收益的定量影响，发现融资摩擦提供了一个共同因子，且外部资金影子成本呈强顺周期变化。
We use a production-based asset pricing model to investigate whether financing constraints are quantitatively important for the cross-section of returns. Specifically, we use GMM to explore the stochastic Euler equation imposed on returns by optimal investment. Our methods can identify the impact of financial frictions on the stochastic discount factor with cyclical variations in cost of external funds. We find that financing frictions provide a common factor that improves the pricing of cross-sectional returns. Moreover, the shadow cost of external funds exhibits strong procyclical variation, so that financial frictions are more important in relatively good economic conditions. Copyright 2006, Oxford University Press.