The Experts below are selected from a list of 7335 Experts worldwide ranked by ideXlab platform

Jucheng Xiong - One of the best experts on this subject based on the ideXlab platform.

Li Li - One of the best experts on this subject based on the ideXlab platform.

Frederico Belo - One of the best experts on this subject based on the ideXlab platform.

  • External Equity Financing Shocks, Financial Flows, and Asset Prices
    Review of Financial Studies, 2018
    Co-Authors: Frederico Belo, Fan Yang
    Abstract:

    Abstract We develop a dynamic model with time variation in external Equity Financing costs and show that variation in these costs is important for the model to quantitatively capture the joint dynamics of firms’ asset prices, real quantities, and financial flows in the U.S. economy. Growth firms and high investment firms are less risky in equilibrium, because they can substitute more easily debt Financing for Equity Financing when it becomes more costly to raise external Equity, which are high marginal utility states. Using a model-implied proxy of aggregate Equity issuance cost shocks, we provide empirical support for the model’s economic mechanism. Received August 7, 2017; editorial decision September 24, 2018 by Editor Stijn Van Nieuwerburgh. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online

  • external Equity Financing shocks financial flows and asset prices
    National Bureau of Economic Research, 2017
    Co-Authors: Frederico Belo, Fan Yang
    Abstract:

    The ability of corporations to raise external Equity finance varies with macroeconomic conditions, suggesting that the cost of Equity issuance is time-varying. Using cross sectional data on U.S. publicly traded firms, we construct an empirical proxy of an aggregate shock to the cost of Equity issuance, which we interpret as a financial shock. We show that this shock captures systematic risk, and that exposure to this shock helps price the cross section of stock returns including book-to-market, investment, and size portfolios. We propose a dynamic investment-based model with stochastic Equity issuance costs and a collateral constraint to interpret the empirical findings. Our central finding is that time variation in external Equity Financing costs is important for the model to quantitatively capture the joint dynamics of firms’ asset prices, real quantities, and Financing flows. In the model, growth firms, high investment firms, and large firms, can substitute more easily debt Financing for Equity Financing when it becomes more costly to raise external Equity, hence these firms are less risky in equilibrium. The model also replicates the failure of the unconditional CAPM in pricing the cross section of stock returns.

Dengli Tang - One of the best experts on this subject based on the ideXlab platform.

Fan Yang - One of the best experts on this subject based on the ideXlab platform.

  • External Equity Financing Shocks, Financial Flows, and Asset Prices
    Review of Financial Studies, 2018
    Co-Authors: Frederico Belo, Fan Yang
    Abstract:

    Abstract We develop a dynamic model with time variation in external Equity Financing costs and show that variation in these costs is important for the model to quantitatively capture the joint dynamics of firms’ asset prices, real quantities, and financial flows in the U.S. economy. Growth firms and high investment firms are less risky in equilibrium, because they can substitute more easily debt Financing for Equity Financing when it becomes more costly to raise external Equity, which are high marginal utility states. Using a model-implied proxy of aggregate Equity issuance cost shocks, we provide empirical support for the model’s economic mechanism. Received August 7, 2017; editorial decision September 24, 2018 by Editor Stijn Van Nieuwerburgh. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online

  • external Equity Financing shocks financial flows and asset prices
    National Bureau of Economic Research, 2017
    Co-Authors: Frederico Belo, Fan Yang
    Abstract:

    The ability of corporations to raise external Equity finance varies with macroeconomic conditions, suggesting that the cost of Equity issuance is time-varying. Using cross sectional data on U.S. publicly traded firms, we construct an empirical proxy of an aggregate shock to the cost of Equity issuance, which we interpret as a financial shock. We show that this shock captures systematic risk, and that exposure to this shock helps price the cross section of stock returns including book-to-market, investment, and size portfolios. We propose a dynamic investment-based model with stochastic Equity issuance costs and a collateral constraint to interpret the empirical findings. Our central finding is that time variation in external Equity Financing costs is important for the model to quantitatively capture the joint dynamics of firms’ asset prices, real quantities, and Financing flows. In the model, growth firms, high investment firms, and large firms, can substitute more easily debt Financing for Equity Financing when it becomes more costly to raise external Equity, hence these firms are less risky in equilibrium. The model also replicates the failure of the unconditional CAPM in pricing the cross section of stock returns.