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Tracking down distress risk

Citations

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Cited by:

  1. Borochin, Paul & Yang, Jie, 2017. "Options, equity risks, and the value of capital structure adjustments," Journal of Corporate Finance, Elsevier, vol. 42(C), pages 150-178.
  2. Dr. Thomas Nitschka, 2014. "Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market," Working Papers 2014-13, Swiss National Bank.
  3. Morana, Claudio, 2014. "Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 64-79.
  4. Thiago de Oliveira Souza, 2013. "Discount rates, market frictions and the mystery of the size premium," 2013 Papers pde868, Job Market Papers.
  5. 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.
  6. Deniz Anginer & Çelim Yıldızhan, 2018. "Is There a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross-section of Equity Returns [The risk-adjusted cost of financial distress]," Review of Finance, European Finance Association, vol. 22(2), pages 633-660.
  7. João Pedro Pereira & António Rua, 2018. "Asset Pricing with a Bank Risk Factor," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(5), pages 993-1032, August.
  8. Jarno Tikkanen & Janne Äijö, 2018. "Does the F-score improve the performance of different value investment strategies in Europe?," Journal of Asset Management, Palgrave Macmillan, vol. 19(7), pages 495-506, December.
  9. Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra, 2016. "Pricing default risk: The good, the bad, and the anomaly," Journal of Financial Stability, Elsevier, vol. 26(C), pages 190-213.
  10. Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.
  11. Thomas Nitschka, 2016. "Is There a Too-Big-to-Fail Discount in Excess Returns on German Banks’ Stocks?," International Finance, Wiley Blackwell, vol. 19(3), pages 292-310, December.
  12. Massimiliano Celli, 2021. "The Accounting of Consolidation Differences in the European Accounting Practice," International Journal of Business and Management, Canadian Center of Science and Education, vol. 14(12), pages 102-102, July.
  13. Jens Hilscher & Mungo Wilson, 2017. "Credit Ratings and Credit Risk: Is One Measure Enough?," Management Science, INFORMS, vol. 63(10), pages 3414-3437, October.
  14. Onali, Enrico & Mascia, Danilo V., 2022. "Corporate diversification and stock risk: Evidence from a global shock," Journal of Corporate Finance, Elsevier, vol. 72(C).
  15. Peltomäki, Jarkko & Äijö, Janne, 2015. "Cross-sectional anomalies and volatility risk in different economic and market cycles," Finance Research Letters, Elsevier, vol. 12(C), pages 17-22.
  16. Su, Xuan-Qi, 2016. "Does systematic distress risk drive the investment growth anomaly?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 240-248.
  17. Bank, Matthias & Insam, Franz, 2021. "Corporate aging and changes in the pricing of stock characteristics," Finance Research Letters, Elsevier, vol. 42(C).
  18. Gregory, Richard P., 2021. "The pricing of global temperature shocks in the cost of equity capital," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
  19. Paul Borochin & Jie Yang, 2016. "Options, Equity Risks, and the Value of Capital Structure Adjustments," Finance and Economics Discussion Series 2016-097, Board of Governors of the Federal Reserve System (U.S.).
  20. Balvers, Ronald & Du, Ding & Zhao, Xiaobing, 2012. "The Adverse Impact of Gradual Temperature Change on Capital Investment," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124676, Agricultural and Applied Economics Association.
  21. Daniel J. Tulloch & Ivan Diaz-Rainey & I.M Premachandra, 2018. "The impact of regulatory change on EU energy utility returns: the three liberalization packages," Applied Economics, Taylor & Francis Journals, vol. 50(9), pages 957-972, February.
  22. Souza, Thiago de Oliveira, 2018. "Size-related premiums," Discussion Papers on Economics 3/2018, University of Southern Denmark, Department of Economics.
  23. Laborda, Ricardo & Olmo, Jose, 2017. "Optimal asset allocation for strategic investors," International Journal of Forecasting, Elsevier, vol. 33(4), pages 970-987.
  24. Du, Ding, 2013. "Another look at the cross-section and time-series of stock returns: 1951 to 2011," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 130-146.
  25. de Groot, Wilma & Huij, Joop, 2018. "Are the Fama-French factors really compensation for distress risk?," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 50-69.
  26. Du, Ding, 2014. "Persistent exchange-rate movements and stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 36-53.
  27. Yezhou Sha & Ziwen Bu & Zilong Wang, 2023. "What drives the distress risk–return puzzle? A perspective on limits of arbitrage," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3574-3592, October.
  28. 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.
  29. Balvers, Ronald & Du, Ding & Zhao, Xiaobing, 2017. "Temperature shocks and the cost of equity capital: Implications for climate change perceptions," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 18-34.
  30. Guo, Hui & Jiang, Xiaowen, 2021. "Aggregate Distress Risk and Equity Returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
  31. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
  32. Kevin Aretz & Chris Florackis & Alexandros Kostakis, 2018. "Do Stock Returns Really Decrease with Default Risk? New International Evidence," Management Science, INFORMS, vol. 64(8), pages 3821-3842, August.
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