Essays about: "Skogsvik 1990 s pfail"

Found 1 essay containing the words Skogsvik 1990 s pfail.

  1. 1. Investing on the risk of company bankruptcy

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Jan Wocalewski; Simon Bergman; [2017]
    Keywords : Skogsvik 1990 s pfail; Distress risk anomaly; CAPM; Portfolio analysis; Cross sectional regressions;

    Abstract : 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