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Conference Paper: Looking for risk in words: a narrative approach to measuring the pricing implications of financial constraints
| Title | Looking for risk in words: a narrative approach to measuring the pricing implications of financial constraints |
|---|---|
| Authors | |
| Keywords | Financial constraints Textual analysis Market efficiency |
| Issue Date | 2014 |
| Citation | The 41st Annual Meeting of the European Finance Association (EFA), Lugano, Switzerland, 27-30 August 2014. How to Cite? |
| Abstract | We construct a novel measure of financial constraints and investigate its impact on stock returns. Unlike other financial constraints measures, ours is consistent with firm characteristics of constrained firms. We find that constrained firms move together. The variation of a financial constraints factor cannot be explained by the Fama-French and momentum factors, earning an annualized risk-adjusted excess return of 7%. A stock trading strategy on financial constraints is most profitable for large and liquid stocks, and reacts most strongly to financial constraints risk from debt issuance. |
| Description | Parallel Session: Text Analysis 2 |
| Persistent Identifier | http://hdl.handle.net/10722/201723 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Buehlmaier, M | - |
| dc.contributor.author | Whited, TM | - |
| dc.date.accessioned | 2014-08-21T07:38:43Z | - |
| dc.date.available | 2014-08-21T07:38:43Z | - |
| dc.date.issued | 2014 | - |
| dc.identifier.citation | The 41st Annual Meeting of the European Finance Association (EFA), Lugano, Switzerland, 27-30 August 2014. | - |
| dc.identifier.uri | http://hdl.handle.net/10722/201723 | - |
| dc.description | Parallel Session: Text Analysis 2 | - |
| dc.description.abstract | We construct a novel measure of financial constraints and investigate its impact on stock returns. Unlike other financial constraints measures, ours is consistent with firm characteristics of constrained firms. We find that constrained firms move together. The variation of a financial constraints factor cannot be explained by the Fama-French and momentum factors, earning an annualized risk-adjusted excess return of 7%. A stock trading strategy on financial constraints is most profitable for large and liquid stocks, and reacts most strongly to financial constraints risk from debt issuance. | - |
| dc.language | eng | - |
| dc.relation.ispartof | Annual Meeting of the European Finance Association (EFA) | - |
| dc.subject | Financial constraints | - |
| dc.subject | Textual analysis | - |
| dc.subject | Market efficiency | - |
| dc.title | Looking for risk in words: a narrative approach to measuring the pricing implications of financial constraints | - |
| dc.type | Conference_Paper | - |
| dc.identifier.email | Buehlmaier, M: buehl@hku.hk | - |
| dc.identifier.authority | Buehlmaier, M=rp01305 | - |
| dc.description.nature | postprint | - |
| dc.identifier.hkuros | 234693 | - |