Global Relation between Financial Distress and Equity Returns

• 成果类型: Article
• 署名作者: Gao, Pengjie; Parsons, Christopher A.; Shen, Jianfeng
• 署名单位: University of Notre Dame; University of Southern California; University of California System; University of California San Diego; University of New South Wales Sydney
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx060
• 发表日期: 2018
• 页码: 239
• 关键词: STOCK RETURNS; MARKET-EFFICIENCY; cross-section; default risk; INVESTORS TRADE; Credit risk; momentum; countries; search; bankruptcy

摘要

This study explores the distress risk anomaly-the tendency for stocks with high credit risk to perform poorly-among 38 countries over two decades. We find a strongly negative relationship between default probabilities and equity returns concentrated among low-capitalization stocks in developed countries in North America and Europe. Although risk-based explanations provide a poor account of these patterns, several pieces of evidence point to a behavioral interpretation, suggesting that stocks of firms in financial distress are temporarily overpriced.