IDEAS home Printed from https://ideas.repec.org/a/ibn/ijefaa/v9y2017i12p153-161.html
   My bibliography  Save this article

Financial Distress Risk and Momentum Effects: Evidence from China¡¯s Stock Market

Author

Listed:
  • Qian Wang

Abstract

I examine the relation of distress risk to size, book-to-market, and momentum effects in China¡¯s stock market. Consistent with the market underreaction hypothesis, I find that distressed firms underperform non-distressed firms in China¡¯s stock market and the momentum factor proxies for distress risk in our sample period. My study also shows that the explanatory power of the momentum effect is subsumed when the distress factor is present.

Suggested Citation

  • Qian Wang, 2017. "Financial Distress Risk and Momentum Effects: Evidence from China¡¯s Stock Market," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(12), pages 153-161, December.
    • Handle: RePEc:ibn:ijefaa:v:9:y:2017:i:12:p:153-161
    as

    Download full text from publisher

    File URL: http://ccsenet.org/journal/index.php/ijef/article/view/70978/39240
    Download Restriction: no
    File URL: http://ccsenet.org/journal/index.php/ijef/article/view/70978
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kim, Dongcheol & Lee, Inro & Na, Haejung, 2019. "Financial distress, short sale constraints, and mispricing," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 94-111.

    More about this item

    Keywords

    financial distress risk; size effects; book-to-market effects; momentum effects; Altman¡¯s z¡¯¡¯-score;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ibn:ijefaa:v:9:y:2017:i:12:p:153-161. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Canadian Center of Science and Education (email available below). General contact details of provider: https://edirc.repec.org/data/cepflch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.