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• W1509205114 abstract "Recent corporate finance studies show that hedging is a first-order driver of corporate decisions. I use firms' hedging behavior to build a novel asset pricing model, the Corporate CAPM. I propose a dynamic contracting framework in which collateral constraints induce a tradeoff between hedging and immediate needs for funding. Firms hedge by transferring resources to future states that are most important for firm's value. In the model, firms' hedging behavior is informative of the shareholders' stochastic discount factor, which measures the value of each state. As a consequence, discount rates can be inferred from firm's observed investment, financing, and hedging policies. On the corporate finance side, a calibrated version of the model is broadly consistent with observed corporate policies of US listed firms. On the asset pricing side, the Corporate CAPM is successful in pricing different test assets, also in comparison to leading asset pricing models." @default.
• W1509205114 created "2016-06-24" @default.
• W1509205114 creator A5055958354 @default.
• W1509205114 date "2015-01-01" @default.
• W1509205114 modified "2023-09-23" @default.
• W1509205114 title "Collateral-Based Asset Pricing" @default.
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• W1509205114 hasPublicationYear "2015" @default.
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