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1、THEJOURNALOFFINANCE•VOL.LXIV,NO.4•AUGUST2009FinanciallyConstrainedStockReturnsDMITRYLIVDAN,HORACIOSAPRIZA,andLUZHANG∗ABSTRACTWestudytheeffectoffinancialconstraintsonriskandexpectedreturnsbyextend-ingtheinvestment-basedassetpricingframeworktoincorporateretainedear
2、nings,debt,costlyequity,andcollateralconstraintsondebtcapacity.Quantitativeresultsshowthatmorefinanciallyconstrainedfirmsareriskierandearnhigherexpectedstockreturnsthanlessfinanciallyconstrainedfirms.Intuitively,bypreventingfirmsfromfinancingalldesiredinvestments
3、,collateralconstraintsrestricttheflexibilityoffirmsinsmoothingdividendstreamsinthefaceofaggregateshocks.Theinflexibilitymechanismalsogivesrisetoaconvexrelationbetweenmarketleverageandexpectedstockreturns.AVOLUMINOUSLITERATUREincorporatefinanceandmacroeconomicshas
4、studiedindepththeimpactoffinancialconstraintsonfirmvalue,capitalinvestment,andbusinesscycles.1Inassetpricing,animportantopenquestionishowfi-nancialconstraintsaffectriskandexpectedreturns.UsingtheKaplanandZingales(1997)indexoffinancialconstraints,Lamont,Polk,andSa
5、a-Requejo´(2001)reportthatmoreconstrainedfirmsearnloweraveragereturnsthanlessconstrainedfirms.However,WhitedandWu(2006)useanalternativeindexandfindthatmoreconstrainedfirmsearnhigheraveragereturnsthanlessconstrainedfirms,althoughthedifferenceisinsignificant.Confli
6、ctingevidenceisdifficulttointerpretwithoutmodelsthatexplicitlytiethecharacteristicsinquestionwithriskandexpectedreturns.Weaimtofillthisgap.Westudytheeffectoffinancialconstraintsonriskandexpectedstockreturnsbyextendingtheneoclassicalinvestmentframeworktoincorpo-ra
7、teretainedearnings,debt,costlyequity,andcollateralconstraintsondebtcapacity.Indoingso,wefillanimportantvoidintheliterature.Tothebest∗DmitryLivdanisfromtheWalterA.HaasSchoolofBusiness,UniversityofCalifornia,Berkeley.HoracioSaprizaisfromRutgersBusinessSchoolandtheF
8、ederalReserveBoard.LuZhangisfromtheStephenM.RossSchoolofBusiness,UniversityofMichiganandNBER.WeacknowledgehelpfulcommentsfromSreedharBharath,JoaoGomes,LeonidKo
