| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12362 |
| 来源ID | Working Paper 12362 |
| In Search of Distress Risk | |
| John Y. Campbell; Jens Hilscher; Jan Szilagyi | |
| 发表日期 | 2006-07-17 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | This paper explores the determinants of corporate failure and the pricing of financially distressed stocks using US data over the period 1963 to 2003. Firms with higher leverage, lower profitability, lower market capitalization, lower past stock returns, more volatile past stock returns, lower cash holdings, higher market-book ratios, and lower prices per share are more likely to file for bankruptcy, be delisted, or receive a D rating. When predicting failure at longer horizons, the most persistent firm characteristics, market capitalization, the market-book ratio, and equity volatility become relatively more significant. Our model captures much of the time variation in the aggregate failure rate. Since 1981, financially distressed stocks have delivered anomalously low returns. They have lower returns but much higher standard deviations, market betas, and loadings on value and small-cap risk factors than stocks with a low risk of failure. These patterns hold in all size quintiles but are particularly strong in smaller stocks. They are inconsistent with the conjecture that the value and size effects are compensation for the risk of financial distress. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w12362 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570019 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,Jens Hilscher,Jan Szilagyi. In Search of Distress Risk. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12362.pdf（481KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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