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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 |
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Authors | |
Keywords | Financial constraints Textual analysis Market efficiency |
Issue Date | 2015 |
Citation | The 2015 Annual Conference of the Western Finance Association (WFA), Seattle, WA., 17-20 June 2015. How to Cite? |
Abstract | We construct a novel measure of financial constraints using textual analysis 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' returns 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 based on financial constraints is most profitable for large and liquid stocks, and when the financial constraints are measured by access to debt markets instead of equity markets. |
Persistent Identifier | http://hdl.handle.net/10722/213634 |
DC Field | Value | Language |
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dc.contributor.author | Buehlmaier, M | - |
dc.contributor.author | Whited, TM | - |
dc.date.accessioned | 2015-08-07T07:50:12Z | - |
dc.date.available | 2015-08-07T07:50:12Z | - |
dc.date.issued | 2015 | - |
dc.identifier.citation | The 2015 Annual Conference of the Western Finance Association (WFA), Seattle, WA., 17-20 June 2015. | - |
dc.identifier.uri | http://hdl.handle.net/10722/213634 | - |
dc.description.abstract | We construct a novel measure of financial constraints using textual analysis 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' returns 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 based on financial constraints is most profitable for large and liquid stocks, and when the financial constraints are measured by access to debt markets instead of equity markets. | - |
dc.language | eng | - |
dc.relation.ispartof | Annual Conference of the Western Finance Association (WFA) | - |
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 | 247721 | - |