Asset Pricing Implications of Firms’ Financing Constraints
نویسندگان
چکیده
منابع مشابه
Quantitative Asset Pricing Implications of Housing Collateral Constraints
To explain the variation in US asset returns in the 20th century, we solve an equilibrium model in which households face housing collateral constraints. An increase in the ratio of housing to human wealth loosens these constraints. It allows for more risk sharing and decreases the rate of return that households require for holding equity. This collateral mechanism can explain the time-variation...
متن کاملAppendix to: Quantitative Asset Pricing Implications of Housing Collateral Constraints
where νt+1 is an i.i.d. standard normal process with mean zero, orthogonal to λt+1. In our benchmark calibration we set ρr = .96, br = .93 and σr = .03. The parameter values are close to the estimates of (1) we find using US National Income and Products Accounts Data. Panel A of table 1 shows regression estimates for ρr and br that are consistent across samples and data sources. In periods of h...
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General Equilibrium asset pricing models have a difficult time simultaneously delivering a sizable equity premium, a low and counter-cyclical real risk free rate, as well as cyclical variation in return volatility. To explain these stylized facts, this paper introduces occasionally binding financing constraints that impede producers’ ability to invest in an otherwise standard real business cycl...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2006
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhj040