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The Distress Anomaly is Deeper than You Think: Evidence from Stocks and Bonds
16 references·1 citing·25 second hop
The Distress Anomaly is Deeper than You Think: Evidence from Stocks and Bonds (2021)The Distress Anomaly is Deeper than You T…A five-factor asset pricing model (2014)A five-factor asset pricing m…The 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…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? (1996)Do Stock Prices Fully Reflect…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…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…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…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…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Green disguise or real action? The truth behind corporate greenwashing under stringent climate policy (2024)Green disguise or real action…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Financial Ratios As Predictors of Failure (1966)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)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)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)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)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Using daily stock returns (1985)Efficient Capital Markets: II (1991)Editor's Choice Digesting Anomalies: An Investment ApproachAsset pricing with liquidity risk (2005)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
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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
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 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
  • 2014A five-factor asset pricing model7,841 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 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
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited

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1996
Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?
2,636 cited

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  • 2024Green disguise or real action? The truth behind corporate greenwashing under stringent climate policy29 cited