Essays about: "Distress risk anomaly"
Found 5 essays containing the words Distress risk anomaly.
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1. Examining the Existence of the Financial Distress Risk Anomaly: Evidence from the U.S. Stock Market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper examines the relationship between financial distress risk, estimated from a firm's distance-to-default, and equity returns on a sample of U.S. stocks between January 1990 and December 2019. READ MORE
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2. Investing on the risk of company bankruptcy
University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringAbstract : We investigate the risk-return relationship between bankruptcy risk, measured by Skogsvik (1990)'s probability of firm failure ("pfail"), and stock returns on a refined stock sample on Stockholmsbörsen between 2002 and 2017. Using portfolio analysis and cross sectional regressions inspired by Fama-MacBeth (1973), we find lacking evidence to support a distress risk premium. READ MORE
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3. Distress Risk - Quality or Junk? Nordic evidence on the ability of distress risk to explain variations in stock returns
University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringAbstract : The risk-return paradigm suggests there should be a positive association between distress risk (i.e. the probability of firm failure) and subsequent excess stock returns. However, we present puzzling evidence suggesting investors are not compensated for taking on additional distress risk. READ MORE
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4. The Relationship between Expected Returns and Financial Distress Risk. Implication for Corporate Valuation
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Using portfolio and regression analysis, this study examines the expected returns of European companies for the period 2000-2011 with respect to financial distress risk in order to provide practical implications for corporate valuation. The relationship between realized returns and financial distress risk is found to be negative, in line with the financial distress risk anomaly acknowledged in the existing literature. READ MORE
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5. The Distress Risk Puzzle in Turbulent Times - Default risk during the financial crises
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Studies on whether risk of default is systematic or not have led to the discovery of the distress risk puzzle. It is a rather new anomaly and its implications are that empirical evidence seems to indicate that higher default risk results in lower returns. READ MORE