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Financial Distress and the Cross‐section of Equity Returns

Author

Listed:
  • LORENZO GARLAPPI
  • HONG YAN

Abstract

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Suggested Citation

  • Lorenzo Garlappi & Hong Yan, 2011. "Financial Distress and the Cross‐section of Equity Returns," Journal of Finance, American Finance Association, vol. 66(3), pages 789-822, June.
  • Handle: RePEc:bla:jfinan:v:66:y:2011:i:3:p:789-822
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    Citations

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    Cited by:

    1. Frederico Belo & Chen Xue & Lu Zhang, 2010. "Cross-sectional Tobin's Q," NBER Working Papers 16336, National Bureau of Economic Research, Inc.
    2. Tao, Qizhi & Chen, Carl & Lu, Rui & Zhang, Ting, 2017. "Underfunding or distress? An analysis of corporate pension underfunding and the cross-section of expected stock returns," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 116-133.
    3. Brent Glover & Joao Gomes & Amir Yaron, "undated". "Corporate Taxes, Leverage, and Business Cycles," GSIA Working Papers 2011-E24, Carnegie Mellon University, Tepper School of Business.
    4. Panayiotis Artikis & Georgia Nifora, 2012. "Capital Structure, Macroeconomic Variables & Stock Returns. Evidence from Greece," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 18(1), pages 87-101, February.
    5. Ben Ammar, Semir & Eling, Martin & Milidonis, Andreas, 2015. "Asset Pricing of Financial Insitutions: The Cross-Section of Expected Stock Returns in the Property/Liability Insurance Industry," Working Papers on Finance 1516, University of St. Gallen, School of Finance.
    6. Breig, Christoph & Elsas, Ralf, 2009. "Default Risk and Equity Returns: A Comparison of the Bank-Based German and the U.S. Financial System," Discussion Papers in Business Administration 10978, University of Munich, Munich School of Management.
    7. Panayiotis Artikis & Georgia Nifora, 2011. "The Industry Effect on the Relationship Between Leverage and Returns," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 125-145, December.
    8. Yeh, Chung-Ying & Hsu, Junming & Wang, Kai-Li & Lin, Che-Hui, 2015. "Explaining the default risk anomaly by the two-beta model," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 16-33.
    9. Ali K. Ozdagli, 2010. "The distress premium puzzle," Working Papers 10-13, Federal Reserve Bank of Boston.
    10. Chris Godfrey & Chris Brooks, 2015. "The Negative Credit Risk Premium Puzzle: A Limits to Arbitrage Story," ICMA Centre Discussion Papers in Finance icma-dp2015-07, Henley Business School, Reading University.
    11. Idrees, Sahar & Qayyum, Abdul, 2018. "The Impact of Financial Distress Risk on Equity Returns: A Case Study of Non-Financial Firms of Pakistan Stock Exchange," MPRA Paper 85346, University Library of Munich, Germany.
    12. Chen, Jie & Hill, Paula, 2013. "The impact of diverse measures of default risk on UK stock returns," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5118-5131.
    13. Dongmei Li & Lu Zhang, 2008. "Costly External Finance: Implications for Capital Markets Anomalies," NBER Working Papers 14342, National Bureau of Economic Research, Inc.
    14. repec:kap:iaecre:v:18:y:2012:i:1:p:87-101 is not listed on IDEAS
    15. Pasaribu, Rowland Bismark Fernando, 2008. "Penggunaan Binary Logit untuk Prediksi Financial Distress Perusahaan Yang Tercatat Di Bursa Efek Jakarta
      [Financial Distress Prediction In Indonesian Stock Exchange]
      ," MPRA Paper 36980, University Library of Munich, Germany.

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