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Is There a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross-section of Equity Returns
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Is There a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross-section of Equity Returns (2017)Is There a Distress Risk Anomaly? Pricing…In Search of Distress Risk (2008)In Search of Distress RiskThe Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Testing the pecking order theory of capital structure (2002)Testing the pecking order the…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Forecasting Bankruptcy More A…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…What Do We Know about Capital Structure? Some Evidence from International Data (1995)What Do We Know about Capital…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …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…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…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…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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)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)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)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)A Survey of Corporate Governance (1997)Law and Finance (1998)Corporate Ownership Around the World (1999)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)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
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY14,869 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1995What Do We Know about Capital Structure? Some Evidence from International Data6,527 cited
  • 1980Financial Ratios and the Probabilistic Prediction of Bankruptcy6,005 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model2,655 cited
  • 2002Testing the pecking order theory of capital structure2,642 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2008In Search of Distress Risk2,232 cited
  • 1995

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A Simple Approach to Valuing Risky Fixed and Floating Rate Debt
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