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Citations for "Is the Risk of Bankruptcy a Systematic Risk?"

by Ilia D. Dichev

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  1. De Moor, Lieven & Sercu, Piet, 2013. "The smallest firm effect: An international study," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 129-155.
  2. L'Her, Jean-Francois & Masmoudi, Tarek & Suret, Jean-Marc, 2004. "Evidence to support the four-factor pricing model from the Canadian stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(4), pages 313-328, October.
  3. Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra, 2014. "Pricing Default Risk: The Good, The Bad, and The Anomaly," MPRA Paper 53373, University Library of Munich, Germany.
  4. 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.
  5. Drobetz, Wolfgang & Menzel, Christina & Schröder, Henning, 2016. "Systematic risk behavior in cyclical industries: The case of shipping," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 88(C), pages 129-145.
  6. Park, James L., 2015. "Equity returns of distressed equity issuers," Finance Research Letters, Elsevier, vol. 14(C), pages 93-103.
  7. Kapadia, Nishad, 2011. "Tracking down distress risk," Journal of Financial Economics, Elsevier, vol. 102(1), pages 167-182, October.
  8. Ali, Ashiq & Hwang, Lee-Seok & Trombley, Mark A., 2003. "Arbitrage risk and the book-to-market anomaly," Journal of Financial Economics, Elsevier, vol. 69(2), pages 355-373, August.
  9. Chen, Jing & Chollete, Lorán, 2006. "Financial Distress and Idiosyncratic Volatility: An Empirical Investigation," Discussion Papers 2006/8, Department of Business and Management Science, Norwegian School of Economics.
  10. Joao F. Gomes & Lukas Schmid, 2010. "Levered Returns," Journal of Finance, American Finance Association, vol. 65(2), pages 467-494, 04.
  11. Bystrom, Hans & Worasinchai, Lugkana & Chongsithipol, Srisuda, 2005. "Default risk, systematic risk and Thai firms before, during and after the Asian crisis," Research in International Business and Finance, Elsevier, vol. 19(1), pages 95-110, March.
  12. Hand, John R.M., 2007. "Determinants of the round-to-round returns to pre-IPO venture capital investments in U.S. biotechnology companies," Journal of Business Venturing, Elsevier, vol. 22(1), pages 1-28, January.
  13. Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, . "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series 11-40, Swiss Finance Institute.
  14. Cao, Viet Nga, 2015. "What explains the value premium? The case of adjustment costs, operating leverage and financial leverage," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 350-366.
  15. Yu-Ling Lin & Ta-Cheng Chang & Su-Jing Yeh, 2012. "Default Risk and Equity Returns: Evidence from the Taiwan Equities Market," Asia-Pacific Financial Markets, Springer, vol. 19(2), pages 181-204, May.
  16. Dirk Czarnitzki & Kornelius Kraft, 2007. "Are credit ratings valuable information?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(13), pages 1061-1070.
  17. Francesco Franzoni & José M. Marín, 2006. "Pension Plan Funding and Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 61(2), pages 921-956, 04.
  18. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
  19. Nordal, Kjell Bjorn & Naes, Randi, 2010. "The relationship between bankruptcy risk and growth for non-listed firms," UiS Working Papers in Economics and Finance 2010/10, University of Stavanger.
  20. Ratner, Mitchell & Chiu, Chih-Chieh (Jason), 2013. "Hedging stock sector risk with credit default swaps," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 18-25.
  21. Avramov, Doron & Chordia, Tarun & Jostova, Gergana & Philipov, Alexander, 2009. "Dispersion in analysts' earnings forecasts and credit rating," Journal of Financial Economics, Elsevier, vol. 91(1), pages 83-101, January.
  22. Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc.
  23. Lyandres, Evgeny & Zhdanov, Alexei, 2013. "Investment opportunities and bankruptcy prediction," Journal of Financial Markets, Elsevier, vol. 16(3), pages 439-476.
  24. Hernandez Tinoco, Mario & Wilson, Nick, 2013. "Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 394-419.
  25. Westgaard, Sjur & van der Wijst, Nico, 2001. "Default probabilities in a corporate bank portfolio: A logistic model approach," European Journal of Operational Research, Elsevier, vol. 135(2), pages 338-349, December.
  26. Almamy, Jeehan & Aston, John & Ngwa, Leonard N., 2016. "An evaluation of Altman's Z-score using cash flow ratio to predict corporate failure amid the recent financial crisis: Evidence from the UK," Journal of Corporate Finance, Elsevier, vol. 36(C), pages 278-285.
  27. Kuo, Su-Wen & Huang, Chin-Sheng & Jhang, Guan-Cih, 2015. "Liquidity, delistings, and credit risk premium," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 78-89.
  28. Abbas, Qaiser & Rashid, Abdul, 2011. "Modeling Bankruptcy Prediction for Non-Financial Firms: The Case of Pakistan," MPRA Paper 28161, University Library of Munich, Germany.
  29. Neta Sher & Koresh Galil, 2015. "Predicting default more accurately: to proxy or not to proxy for default?," Working Papers 1505, Ben-Gurion University of the Negev, Department of Economics.
  30. John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2008. "In Search of Distress Risk," Journal of Finance, American Finance Association, vol. 63(6), pages 2899-2939, December.
  31. Ben-Rephael, Azi & Kadan, Ohad & Wohl, Avi, 2008. "The diminishing liquidity premium," CFS Working Paper Series 2008/52, Center for Financial Studies (CFS).
  32. Edelen, Roger M. & Ince, Ozgur S. & Kadlec, Gregory B., 2016. "Institutional investors and stock return anomalies," Journal of Financial Economics, Elsevier, vol. 119(3), pages 472-488.
  33. Pindado, Julio & Rodrigues, Luis & de la Torre, Chabela, 2008. "Estimating financial distress likelihood," Journal of Business Research, Elsevier, vol. 61(9), pages 995-1003, September.
  34. Hou, Kewei & van Dijk, Mathijs A. & Zhang, Yinglei, 2010. "The Implied Cost of Capital: A New Approach," Working Paper Series 2010-4, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  35. Yinxia G. Nielsen , Caren, 2013. "Is Default Risk Priced in Equity Returns?," Knut Wicksell Working Paper Series 2013/2, Knut Wicksell Centre for Financial Studies, Lund University.
  36. Gharghori, Philip & Chan, Howard & Faff, Robert, 2009. "Default risk and equity returns: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 580-593, November.
  37. Chaoshin Chiao & David Cheng & Welfeng Hung, 2005. "Overreaction after Controlling for Size and Book-to-Market Effects and its Mimicking Portfolio in Japan," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 65-91, January.
  38. Michael S. O'Doherty, 2012. "On the Conditional Risk and Performance of Financially Distressed Stocks," Management Science, INFORMS, vol. 58(8), pages 1502-1520, August.
  39. Kay Giesecke & Francis A. Longstaff & Stephen Schaefer & Ilya Strebulaev, 2010. "Corporate Bond Default Risk: A 150-Year Perspective," NBER Working Papers 15848, National Bureau of Economic Research, Inc.
  40. Chen, Jing & Chollete, Lorán & Ray, Rina, 2010. "Financial distress and idiosyncratic volatility: An empirical investigation," Journal of Financial Markets, Elsevier, vol. 13(2), pages 249-267, May.
  41. Blakespoor, Elizabeth & Linsmeier, Thomas J. & Petroni, Kathy & Shakespeare, Catherine, 2012. "Fair Value Accounting for Financial Instruments: Does It Improve the Association between Bank Leverage and Credit Risk?," Research Papers 2107, Stanford University, Graduate School of Business.
  42. Kewei Hou & Chen Xue & Lu Zhang, 2014. "A Comparison of New Factor Models," NBER Working Papers 20682, National Bureau of Economic Research, Inc.
  43. Avino, Davide & Lazar, Emese & Varotto, Simone, 2012. "Price Discovery of Credit Spreads in Tranquil and Crisis Periods," MPRA Paper 42847, University Library of Munich, Germany.
  44. Hammad, Siddiqi, 2015. "Capital Asset Pricing Model Adjusted for Anchoring," MPRA Paper 67668, University Library of Munich, Germany.
  45. Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers 9227, C.E.P.R. Discussion Papers.
  46. Naifar, Nader, 2011. "What explains default risk premium during the financial crisis? Evidence from Japan," Journal of Economics and Business, Elsevier, vol. 63(5), pages 412-430, September.
  47. Reisz, Alexander S. & Perlich, Claudia, 2007. "A market-based framework for bankruptcy prediction," Journal of Financial Stability, Elsevier, vol. 3(2), pages 85-131, July.
  48. Hou, Kewei & Hirshleifer, David & Teoh, Siew Hong, 2007. "The Accrual Anomaly: Risk or Mispricing?," MPRA Paper 5173, University Library of Munich, Germany.
  49. Cederburg, Scott & O’Doherty, Michael S., 2015. "Asset-pricing anomalies at the firm level," Journal of Econometrics, Elsevier, vol. 186(1), pages 113-128.
  50. Thomas Gosnell & Ali Nejadmalayeri, 2010. "Macroeconomic news and risk factor innovations," Managerial Finance, Emerald Group Publishing, vol. 36(7), pages 566-582, July.
  51. Avramov, Doron & Chordia, Tarun & Jostova, Gergana & Philipov, Alexander, 2009. "Credit ratings and the cross-section of stock returns," Journal of Financial Markets, Elsevier, vol. 12(3), pages 469-499, August.
  52. Kirchesch, Kai, 2004. "Financial Risks, Bankruptcy Probabilities, and the Investment Behaviour of Enterprises," HWWA Discussion Papers 299, Hamburg Institute of International Economics (HWWA).
  53. Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact US Credit Spreads? A Copula Study," Risk and Insurance 0308002, EconWPA.
  54. Avramov, Doron & Chordia, Tarun & Jostova, Gergana & Philipov, Alexander, 2013. "Anomalies and financial distress," Journal of Financial Economics, Elsevier, vol. 108(1), pages 139-159.
  55. French, Declan & Wu, Yuliang & Li, Youwei, 2016. "Identifying the relative importance of stock characteristics," Journal of Multinational Financial Management, Elsevier, vol. 34(C), pages 80-91.
  56. Hung, Weifeng & Huang, Sheng-Tang & Lu, Chia-Chi & Liu, Nathan, 2015. "Trading behavior and stock returns in Japan," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 200-212.
  57. Alfranseder, Emanuel, 2015. "Does the financial crisis affect distressed or constrained firms more heavily?," Knut Wicksell Working Paper Series 2015/4, Knut Wicksell Centre for Financial Studies, Lund University.
  58. Gay, Gerald D. & Lin, Chen-Miao & Smith, Stephen D., 2011. "Corporate derivatives use and the cost of equity," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1491-1506, June.
  59. Nicholas Rueilin Lee, 2012. "Firm ratings, momentum strategies, and crises: evidence from the US and Taiwanese stock markets," Financial Markets and Portfolio Management, Springer, vol. 26(4), pages 449-468, December.
  60. Tim R. Adam & Chitru S. Fernando & Jesus M. Salas, 2012. "Why Do Firms Engage in Selective Hedging?," SFB 649 Discussion Papers SFB649DP2012-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  61. Berardino Palazzo, 2013. "Net leverage, risk, and credit spreads," 2013 Meeting Papers 436, Society for Economic Dynamics.
  62. Hou, Kewei & Xue, Chen & Zhang, Lu, 2012. "Digesting Anomalies: An Investment Approach," Working Paper Series 2012-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  63. Ye, Qing & Turner, John D., 2014. "The cross-section of stock returns in an early stock market," QUCEH Working Paper Series 14-05, Queen's University Belfast, Queen's University Centre for Economic History.
  64. Fiordelisi, Franco & Marqués-Ibañez, David, 2013. "Is bank default risk systematic?," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2000-2010.
  65. Fiordelisi, Franco & Meles, Antonio & Monferrà, Stefano & Starita, Maria Grazia, 2013. "Personal vs. Corporate Goals: Why do Insurance Companies Manage Loss Reserves?," MPRA Paper 47867, University Library of Munich, Germany.
  66. Conrad, Jennifer & Kapadia, Nishad & Xing, Yuhang, 2014. "Death and jackpot: Why do individual investors hold overpriced stocks?," Journal of Financial Economics, Elsevier, vol. 113(3), pages 455-475.
  67. Thomas Chiang & Jiandong Li & Sheng-Yung Yang, 2015. "Dynamic stock–bond return correlations and financial market uncertainty," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 59-88, July.
  68. Liu, Jia & Lister, Roger & Pang, Dong, 2013. "Corporate evolution following initial public offerings in China: A life-course approach," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 1-20.
  69. Cai, Jie & Zhang, Zhe, 2011. "Leverage change, debt overhang, and stock prices," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 391-402, June.
  70. Ebrahim, M. Shahid & Girma, Sourafel & Shah, M. Eskandar & Williams, Jonathan, 2014. "Rationalizing the value premium in emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 51-70.
  71. Hilscher, Jens Dietrich & Campbell, John Y. & Szilagyi, Jan, 2011. "Predicting Financial Distress and the Performance of Distressed Stocks," Scholarly Articles 9887619, Harvard University Department of Economics.
  72. Huang, Hsing-Hua & Lee, Han-Hsing, 2013. "Product market competition and credit risk," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 324-340.
  73. Sonja Keller & Ashoka Mody, 2010. "International Pricing of Emerging Market Corporate Debt; Does the Corporate Matter?," IMF Working Papers 10/26, International Monetary Fund.
  74. Ming Fang & Rui Zhong, 2004. "Default Risk, Firm's Characteristics, and Risk Shifting," Yale School of Management Working Papers amz2461, Yale School of Management, revised 01 Mar 2005.
  75. Giesecke, Kay & Longstaff, Francis A. & Schaefer, Stephen & Strebulaev, Ilya, 2011. "Corporate bond default risk: A 150-year perspective," Journal of Financial Economics, Elsevier, vol. 102(2), pages 233-250.
  76. Lee, Charles M. C., 2001. "Market efficiency and accounting research: a discussion of 'capital market research in accounting' by S.P. Kothari," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 233-253, September.
  77. Eleimon Gonis & Salima Paul & Jon Tucker, 2012. "Rating or no rating? That is the question: an empirical examination of UK companies," The European Journal of Finance, Taylor & Francis Journals, vol. 18(8), pages 709-735, September.
  78. Huang, Wei & Liu, Qianqiu & Ghon Rhee, S. & Wu, Feng, 2012. "Extreme downside risk and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1492-1502.
  79. Richardson, Grant & Lanis, Roman & Taylor, Grantley, 2015. "Financial distress, outside directors and corporate tax aggressiveness spanning the global financial crisis: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 112-129.
  80. Sun, Wenbin & Cui, Kexiu, 2014. "Linking corporate social responsibility to firm default risk," European Management Journal, Elsevier, vol. 32(2), pages 275-287.
  81. Arnab Bhattacharjee & Chris Higson & Sean Holly, 2015. "Operating Leverage over the Business Cycle," Cambridge Working Papers in Economics 1535, Faculty of Economics, University of Cambridge.
  82. van Dijk, Mathijs A., 2011. "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3263-3274.
  83. Kuan Xu & Gordon Fisher, 2006. "Myopic loss aversion and margin of safety: the risk of value investing," Quantitative Finance, Taylor & Francis Journals, vol. 6(6), pages 481-494.
  84. Siddiqi, Hammad, 2015. "Anchoring Heuristic and the Equity Premium Puzzle," MPRA Paper 68537, University Library of Munich, Germany.
  85. Khan, Mozaffar, 2008. "Are accruals mispriced Evidence from tests of an Intertemporal Capital Asset Pricing Model," Journal of Accounting and Economics, Elsevier, vol. 45(1), pages 55-77, March.
  86. Balakrishnan, Karthik & Bartov, Eli & Faurel, Lucile, 2010. "Post loss/profit announcement drift," Journal of Accounting and Economics, Elsevier, vol. 50(1), pages 20-41, May.
  87. Anginer, Deniz & Yildizhan, Celim, 2009. "Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns," MPRA Paper 53885, University Library of Munich, Germany, revised 23 Apr 2013.
  88. 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.
  89. Chiang, Thomas C. & Li, Huimin & Zheng, Dazhi, 2015. "The intertemporal risk-return relationship: Evidence from international markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 156-180.
  90. Walkshäusl, Christian, 2015. "Equity financing activities and European value-growth returns," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 27-40.
  91. repec:gnv:wpaper:unige:76321 is not listed on IDEAS
  92. M. Eskandar Shah & Sourafel Girm & R. Hudson, 2012. "Rationalizing the Value Premium under Economic Fundamentals in an Emerging Market," Working Papers 12010, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  93. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
  94. Schaetzle, Dominik, 2011. "Ratingagenturen in der neoklassischen Finanzierungstheorie: Eine Auswertung empirischer Studien zum Informationsgehalt von Ratings," Arbeitspapiere 110, Westfälsche Wilhelms-Universität Münster (WWU), Institut für Genossenschaftswesen.
  95. Ogneva, Maria & Subramanyam, K.R., 2007. "Does the stock market underreact to going concern opinions? Evidence from the U.S. and Australia," Journal of Accounting and Economics, Elsevier, vol. 43(2-3), pages 439-452, July.
  96. Daniel, Kent & Hirshleifer, David & Subrahmanyam, Avanidhar, 2005. "Investor Psychology and Tests of Factor Pricing Models," Working Paper Series 2005-26, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  97. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer, vol. 26(1), pages 3-38, March.
  98. Hur, Jungshik & Pettengill, Glenn & Singh, Vivek, 2014. "Market states and the risk-based explanation of the size premium," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 139-150.
  99. George, Thomas J. & Hwang, Chuan-Yang, 2010. "A resolution of the distress risk and leverage puzzles in the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 96(1), pages 56-79, April.
  100. Das, Sanjiv R. & Hanouna, Paul & Sarin, Atulya, 2009. "Accounting-based versus market-based cross-sectional models of CDS spreads," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 719-730, April.
  101. Bissoondoyal-Bheenick, Emawtee & Brooks, Robert, 2015. "The credit risk–return puzzle: Impact of credit rating announcements in Australia and Japan," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 37-55.
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