أعرض تسجيلة المادة بشكل مبسط

dc.creator Campbell, John Y.
dc.creator Hilscher, Jens
dc.creator Szilagyi, Jan
dc.date 2005
dc.date.accessioned 2013-10-16T07:05:54Z
dc.date.available 2013-10-16T07:05:54Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19612
dc.identifier ppn:500567123
dc.identifier RePEc:zbw:bubdp1:4221
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19612
dc.description This paper explores the determinants of corporate failure and the pricing of financially distressed stocks using US data over the period 1963 to 2003. Firms with higher leverage, lower profitability, lower market capitalization, lower past stock returns, more volatile past stock returns, lower cash holdings, higher market-book ratios, and lower prices per share are more likely to file for bankruptcy, be delisted, or receive a D rating. When predicting failure at longer horizons, the most persistent firm characteristics, market capitalization, the market-book ratio, and equity volatility become relatively more significant. Our model captures much of the time variation in the aggregate failure rate. Since 1981, financially distressed stocks have delivered anomalously low returns. They have lower returns but much higher standard deviations, market betas, and loadings on value and small-cap risk factors than stocks with a low risk of failure. These patterns hold in all size quintiles but are particularly strong in smaller stocks. They are inconsistent with the conjecture that the value and size effects are compensation for the risk of financial distress.
dc.language eng
dc.relation Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2005,27
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject ddc:330
dc.subject Zahlungsunfähigkeit
dc.subject Konkurs
dc.subject Kapitalertrag
dc.subject Aktienmarkt
dc.subject USA
dc.title In search of distress risk
dc.type doc-type:workingPaper


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أعرض تسجيلة المادة بشكل مبسط