Is There a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross-section of Equity Returns*
Author:
Affiliation:
1. Development Research Group, World Bank
2. Terry College of Business, University of Georgia
Publisher
Oxford University Press (OUP)
Subject
Finance,Economics and Econometrics,Accounting
Link
http://academic.oup.com/rof/article-pdf/22/2/633/24255748/rfx044.pdf
Reference57 articles.
1. The risk-adjusted cost of financial distress;Almeida;Journal of Finance,2007
2. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy;Altman;Journal of Finance,1968
3. The cross-section of volatility and expected returns;Ang;Journal of Finance,2006
4. High idiosyncratic volatility and low returns: International and further U.S. evidence;Ang;Journal of Financial Economics,2009
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