Financial Constraints And Stock Excess-return

The degree of external financing constraints faced by enterprises is the embodiment of the degree of information asymmetry between enterprise managers and external investors and the seriousness of the contradiction of principal-agent.When the degree of information asymmetry is high and the principal-agent contradiction is more serious,the shadow-cost faced by enterprises for external financing will be relatively high,that is,they will face more serious financing constraints.The traditional financing constraint theory holds that enterprises facing higher external financing constraints can often obtain higher excess returns.This is because those enterprises with higher level of financing constraints tend to use technology innovation to alleviate their own financing constraints.A higher risk premium will be required,resulting in higher excess returns,but there is no doubt that this needs to be based on a higher level of intellectual property protection.This paper attempts to use the data of corporate samples from 23 countries around the world to build a global enterprise financing constraint index based on dynamic structural equation model and generalized moment estimation(GMM)method.Based on this,the non-balanced panel regression model is used.Further explore the impact of financing constraints as a special pricing factor on stock excess returns.The study finds that the traditional financing constraint theory is not applicable in the global sample study of this paper,that is,the phenomenon of “anti-financing constraints” appears.The financing constraint has a negative impact on excess returns,it means that the corporation who has the lower level of financing constraints earns the higher excess-return than to the higher one.In view of this financing constraint "vision",this paper introduces the intellectual property protection dummy variable and integrates it into the non-balanced panel regression analysis model to further explore the heterogeneity characteristics of corporate financing constraints.The results show that in the case of higher intellectual property protection,the higher the financing constraint,the higher the excess return of the enterprise,and vice versa.Therefore,we believe that the positive promotion effect of financing constraints on excess returns needs to be based on the higher level of intellectual property protection.This conclusion is more significant in developed countries.The phenomenon made some reasonable explanations for the phenomenon of “anti-financing constraints”.