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A resolution of the distress risk and leverage puzzles in the cross section of stock returns
16 references·16 citing·29 second hopsampled
A resolution of the distress risk and leverage puzzles in the cross section of stock returns (2009)A resolution of the distress risk and lev…The cost of capital, corporation finance and the theory of investment (2008)The cost of capital, corporat…Financial Constraints Risk (2006)Financial Constraints RiskTesting Trade-Off and Pecking Order Predictions About Dividends and Debt (2002)Testing Trade-Off and Pecking…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…The theory and practice of corporate finance: evidence from the field (2001)The theory and practice of co…Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Forecasting Bankruptcy More A…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The Determinants of Capital Structure Choice (1988)The Determinants of Capital S…Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Financial Ratios and the Prob…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)FINANCIAL RATIOS, DISCRIMINAN…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cost of Capital, Corporat…What makes firms vulnerable to the Russia–Ukraine crisis? (2022)What makes firms vulnerable t…Size matters, if you control your junk (2018)Size matters, if you control …Quality minus junk (2018)Quality minus junkDeviation from target capital structure, cost of equity and speed of adjustment (2016)Deviation from target capital…Credit Ratings and Credit Risk: Is One Measure Enough? (2016)Credit Ratings and Credit Ris…The expected cost of default (2015)The expected cost of defaultDoes It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly (2015)Does It Pay to Bet Against Be…Variable selection and corporate bankruptcy forecasts (2014)Variable selection and corpor…The Cross‐Section of Credit Risk Premia and Equity Returns (2014)The Cross‐Section of Credit R…Death and jackpot: Why do individual investors hold overpriced stocks? (2014)Death and jackpot: Why do ind…. . . and the Cross-Section of Expected Returns (2014). . . and the Cross-Section o…Quality Minus Junk (2013)Quality Minus JunkBringing leased assets onto the balance sheet (2013)Bringing leased assets onto t…Financial Distress and the Cross‐section of Equity Returns (2011)Financial Distress and the Cr…Cash holdings, risk, and expected returns (2011)Cash holdings, risk, and expe…Leverage change, debt overhang, and stock prices (2010)Leverage change, debt overhan…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A five-factor asset pricing model (2014)Financial Ratios As Predictors of Failure (1966)Conditional logit analysis of qualitative choice behavior (1972)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)The Effect of Audit Quality on Earnings Management* (1998)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Significance tests and goodness of fit in the analysis of covariance structures. (1980)Corporate financing and investment decisions when firms have information that investors do not have (1984)Firms, Contracts, and Financial Structure (1995)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Law and Finance (1998)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)The Capital Structure Puzzle (1984)A Survey of Corporate Governance (1997)Managerial incentives and risk-taking☆ (2005)How does financial reporting quality relate to investment efficiency? (2009)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY14,869 cited
  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2008The cost of capital, corporation finance and the theory of investment8,614 cited
  • 1988The Determinants of Capital Structure Choice6,108 cited
  • 1980Financial Ratios and the Probabilistic Prediction of Bankruptcy6,005 cited
  • 2001The theory and practice of corporate finance: evidence from the field5,947 cited
  • 2006Financial Constraints Risk3,702 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 2002Testing Trade-Off and Pecking Order Predictions About Dividends and Debt3,396 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates

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2,752 cited
  • 2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model2,655 cited
  • Cited by

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    • 2011Financial Distress and the Cross‐section of Equity Returns340 cited
    • 2014Variable selection and corporate bankruptcy forecasts276 cited
    • 2016Credit Ratings and Credit Risk: Is One Measure Enough?234 cited
    • 2015The expected cost of default217 cited
    • 2014Death and jackpot: Why do individual investors hold overpriced stocks?214 cited
    • 2014The Cross‐Section of Credit Risk Premia and Equity Returns209 cited
    • 2018Size matters, if you control your junk200 cited
    • 2010Leverage change, debt overhang, and stock prices188 cited
    • 2014. . . and the Cross-Section of Expected Returns140 cited
    • 2016Deviation from target capital structure, cost of equity and speed of adjustment139 cited
    • 2022What makes firms vulnerable to the Russia–Ukraine crisis?138 cited
    • 2013Quality Minus Junk132 cited
    • 2015Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly118 cited
    • 2013Bringing leased assets onto the balance sheet104 cited