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- W3121130588 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.
- W3121130588 created "2021-02-01" @default.
- W3121130588 creator A5055958354 @default.
- W3121130588 date "2015-01-01" @default.
- W3121130588 modified "2023-09-27" @default.
- W3121130588 title "Collateral-Based Asset Pricing" @default.
- W3121130588 hasPublicationYear "2015" @default.
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