揭露财务限制

IF 3.9 2区经济学 Q1 Economics, Econometrics and Finance

Journal of Financial and Quantitative Analysis Pub Date : 2023-05-05 DOI:10.1017/s0022109023000650

Matthew Linn, Daniel Weagley

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引用次数: 0

摘要

摘要本文采用随机森林模型对仅使用财务变量的企业财务约束进行分类。与基于文本的方法相比，我们的方法扩大了分类公司的范围，同时保持了相似的信息水平。我们构建了两个版本的约束度量，一个使用许多公司特征，另一个使用一小组更原始的特征。通过我们的测量，我们发现机构投资者在以股票为重点的受限公司中持有的股份比例较低，而散户投资者则表现出对它们的偏好。在投资者情绪高涨的时期，受约束公司的股票发行和投资也会增加。

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Uncovering Financial Constraints

Abstract We use a random forest model to classify firms’ financial constraints using only financial variables. Our methodology expands the range of classified firms compared to text-based measures while maintaining similar levels of informativeness. We construct two versions of our constraint measures, one using many firm characteristics and the other using a small set of more primitive characteristics. Using our measures, we find that institutional investors hold a lower percentage of shares in equity-focused constrained firms, while retail investors show a preference for them. Equity issuance and investment of constrained firms also increases during periods of high investor sentiment.

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来源期刊

Journal of Financial and Quantitative Analysis Multiple-

CiteScore

6.60

自引率

5.10%

发文量

131

期刊介绍： The Journal of Financial and Quantitative Analysis (JFQA) publishes theoretical and empirical research in financial economics. Topics include corporate finance, investments, capital and security markets, and quantitative methods of particular relevance to financial researchers. With a circulation of 3000 libraries, firms, and individuals in 70 nations, the JFQA serves an international community of sophisticated finance scholars—academics and practitioners alike. The JFQA prints less than 10% of the more than 600 unsolicited manuscripts submitted annually. An intensive blind review process and exacting editorial standards contribute to the JFQA’s reputation as a top finance journal.