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

by Ilia D. Dichev

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  1. Sun, Wenbin & Cui, Kexiu, 2014. "Linking corporate social responsibility to firm default risk," European Management Journal, Elsevier, vol. 32(2), pages 275-287.
  2. 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.
  3. Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact US Credit Spreads? A Copula Study," Risk and Insurance 0308002, EconWPA.
  4. Kjell Bjørn Nordal & Randi Næs, 2010. "The relationship between bankruptcy risk and growth for non-listed firms," Working Paper 2010/31, Norges Bank.
  5. 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.
  6. 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.
  7. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer, vol. 26(1), pages 3-38, March.
  8. 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.
  9. 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.
  10. Anginer, Deniz & Yildizhan, Celim, 2010. "Is there a distress risk anomaly ? pricing of systematic default risk in the cross section of equity returns," Policy Research Working Paper Series 5319, The World Bank.
  11. 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.
  12. Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc.
  13. 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.
  14. 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.
  15. 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.
  16. M. Shahid Embrahim & Sourafel Girma & M. Eskander Shah & Jonathan Williams, 2013. "Rationalizing the Value Premium in Emerging Markets," Working Papers 13010, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  17. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. Ye, Qing & Turner, John D., 2014. "The cross-section of stock returns in an early stock market," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 114-123.
  23. 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.
  24. 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.
  25. Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2006. "The Accrual Anomaly: Risk or Mispricing?," Working Paper Series 2006-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  26. 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.
  27. Byström , Hans & Worasinchai , Lugkana & Chongsithipol , Srisuda, 2004. "Default Risk, Systematic Risk and Thai Firms Before, During and After the Asian Crisis," Working Papers 2005:5, Lund University, Department of Economics.
  28. 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.
  29. Szilagyi, Jan & Hilscher, Jens & Campbell, John, 2008. "In Search of Distress Risk," Scholarly Articles 3199070, Harvard University Department of Economics.
  30. 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.
  31. 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.
  32. 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.
  33. Lukas Schmid & Joao Gomes, 2007. "Levered Returns," 2007 Meeting Papers 1007, Society for Economic Dynamics.
  34. Ben-Rephael, Azi & Kadan, Ohad & Wohl, Avi, 2008. "The diminishing liquidity premium," CFS Working Paper Series 2008/52, Center for Financial Studies (CFS).
  35. 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.
  36. 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.
  37. Nielsen, Caren Yinxia Guo, 2011. "Is Default Risk Priced in Equity Returns?," Working Papers 2011:38, Lund University, Department of Economics.
  38. 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.
  39. 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.
  40. 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.
  41. Huang, Hsing-Hua & Lee, Han-Hsing, 2013. "Product market competition and credit risk," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 324-340.
  42. 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.
  43. 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.
  44. Kraft, Kornelius & Czarnitzki, Dirk, 2004. "Are Credit Ratings Valuable Information?," ZEW Discussion Papers 04-07, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  45. Lyandres, Evgeny & Zhdanov, Alexei, 2013. "Investment opportunities and bankruptcy prediction," Journal of Financial Markets, Elsevier, vol. 16(3), pages 439-476.
  46. Cederburg, Scott & O’Doherty, Michael S., 2015. "Asset-pricing anomalies at the firm level," Journal of Econometrics, Elsevier, vol. 186(1), pages 113-128.
  47. 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.
  48. 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.
  49. 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.
  50. Hou, Kewei & van Dijk, Mathijs A. & Zhang, Yinglei, 2012. "The implied cost of capital: A new approach," Journal of Accounting and Economics, Elsevier, vol. 53(3), pages 504-526.
  51. Sonja Keller & Ashoka Mody, 2010. "International Pricing of Emerging Market Corporate Debt; Does the Corporate Matter?," IMF Working Papers 10/26, International Monetary Fund.
  52. Fiordelisi, Franco & Marqués-Ibañez, David, 2013. "Is bank default risk systematic?," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2000-2010.
  53. 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.
  54. 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).
  55. 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.
  56. Francesco Franzoni & José M. Marín, 2005. "Pension plan funding and stock market efficiency," Economics Working Papers 871, Department of Economics and Business, Universitat Pompeu Fabra.
  57. Kirchesch, Kai, 2004. "Financial Risks, Bankruptcy Probabilities, and the Investment Behaviour of Enterprises," HWWA Discussion Papers 299, Hamburg Institute of International Economics (HWWA).
  58. Kapadia, Nishad, 2011. "Tracking down distress risk," Journal of Financial Economics, Elsevier, vol. 102(1), pages 167-182, October.
  59. 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.
  60. 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.
  61. 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.
  62. 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.
  63. Berardino Palazzo, 2013. "Net leverage, risk, and credit spreads," 2013 Meeting Papers 436, Society for Economic Dynamics.
  64. Kewei Hou & Chen Xue & Lu Zhang, 2014. "A Comparison of New Factor Models," NBER Working Papers 20682, National Bureau of Economic Research, Inc.
  65. 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.
  66. Abbas, Qaiser & Rashid, Abdul, 2011. "Modeling Bankruptcy Prediction for Non-Financial Firms: The Case of Pakistan," MPRA Paper 28161, University Library of Munich, Germany.
  67. 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.
  68. 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.
  69. Thomas Gosnell & Ali Nejadmalayeri, 2010. "Macroeconomic news and risk factor innovations," Managerial Finance, Emerald Group Publishing, vol. 36(7), pages 566-582, July.
  70. 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.
  71. 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.
  72. 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.
  73. 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.
  74. 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.
  75. 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.
  76. 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.
  77. Walkshäusl, Christian, 2015. "Equity financing activities and European value-growth returns," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 27-40.
  78. Cai, Jie & Zhang, Zhe, 2011. "Leverage change, debt overhang, and stock prices," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 391-402, June.
  79. 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.
  80. 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.
  81. Avramov, Doron & Chordia, Tarun & Jostova, Gergana & Philipov, Alexander, 2013. "Anomalies and financial distress," Journal of Financial Economics, Elsevier, vol. 108(1), pages 139-159.
  82. 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.
  83. 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.
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