000			02769cam a22003617 4500
001			w20210
003			NBER
005			20211020105916.0
006			m o d
007			cr cnu||||||||
008			210910s2014 mau fo 000 0 eng d
100	1		_aBelo, Frederico. _932484
245	1	0	_aExternal Equity Financing Shocks, Financial Flows, and Asset Prices / _cFrederico Belo, Xiaoji Lin, Fan Yang.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2014.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w20210
500			_aJune 2014.
520	3		_aThe 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.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aE23 - Production _2Journal of Economic Literature class.
690		7	_aE44 - Financial Markets and the Macroeconomy _2Journal of Economic Literature class.
690		7	_aG12 - Asset Pricing • Trading Volume • Bond Interest Rates _2Journal of Economic Literature class.
700	1		_aLin, Xiaoji.
700	1		_aYang, Fan.
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w20210.
856	4	0	_uhttps://www.nber.org/papers/w20210
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w20210
942			_2ddc _cW-PAPER
999			_c327913 _d286475