Gomes, João F.; Yaron, Amir; Zhang, Lu - In: Review of Financial Studies 19 (2006) 4, pp. 1321-1356
We use a production-based asset pricing model to investigate whether financing constraints are quantitatively important for the cross-section of returns. Specifically, we use GMM to explore the stochastic Euler equation imposed on returns by optimal investment. Our methods can identify the...