Anomalies and financial distress

• 成果类型: Article
• 署名作者: Avramov, Doron; Chordia, Tarun; Jostova, Gergana; Philipov, Alexander
• 署名单位: Hebrew University of Jerusalem; Emory University; George Washington University; George Mason University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.10.005
• 发表日期: 2013
• 页码: 139-159
• 关键词: Asset pricing anomalies; Financial distress; Credit ratings

摘要

This paper explores commonalities across asset pricing anomalies. In particular, we assess implications of financial distress for the profitability of anomaly-based trading strategies. Strategies based on price momentum, earnings momentum, credit risk, dispersion, idiosyncratic volatility, and capital investments derive their profitability from taking short positions in high credit risk firms that experience deteriorating credit conditions. In contrast, the value-based strategy derives most of its profitability from taking long positions in high credit risk firms that survive financial distress and subsequently realize high returns. The accruals anomaly is an exception. It is robust among high and low credit risk firms in all credit conditions. (C) 2012 Elsevier B.V. All rights reserved.