The Effect Of Financial Constraints On Asset Pricing Of The Listed Companies

As an emerging economy country,China’s financial system is unsound,diversifiedfinancing needs of Chinese enterprises can not be effectively met.However, the degreeof market interest rates continue improving and market pricing powerstrengthening.The main problem is the price of capital can not reach agreement on bothsides of supply and demand.Which should be settled to make capital price rationalizedand optimize capital configuration.This thesis studies how the financial constraints affect asset pricing. This paperselected the Shanghai A-share without ST companies from2003to2012monthly datato do empirical research.First, using the reference of constructor of KZ index,thisthesis considers financial indicators of enterprises and ownership of the nature of theenterprise as variables in conjunction, then uses Logistic regression to construct aFinancial Constraints Index. The choice of variables is one of the innovations of thispaper. Second, drawing on Fama&French`s method, we form portfolios based on sortof the financial constraint and construct constraints factors, then we reach conclusionabout differences of the return and systemic risk between constrained andunconstrained portfolio. Finally, we use multi-factor model to examine the relationshipbetween constraints factors and other risk factors.The results show that:1)Financial constraints brought about a positive premium;2)Financial constraints raise systemic risk of assets;3)Constraints factors not becovered by market factor, the scale factor, or PB(Price to Book Ratio) factor in thethree-factor model.