Essays about: "risk-sorted portfolios"

Found 1 essay containing the words risk-sorted portfolios.

  1. 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 ekonomi

    Author : Maxime Rundström; Joel Ejdesjö; [2020]
    Keywords : Financial distress risk anomaly; risk-sorted portfolios; Distance-to-Default; Fama-French five-factor model;

    Abstract : 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