Is the risk of bankruptcy a systematic risk?

• 成果类型: Article
• 署名作者: Dichev, ID
• 署名单位: University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00046
• 发表日期: 1998
• 页码: 1131-1147
• 关键词: expected stock returns; Financial distress; cross-section; prediction; MARKET; size

摘要

Several studies suggest that a firm distress risk factor could be behind the size and the book-to-market effects. A natural proxy for firm distress is bankruptcy risk. If bankruptcy risk is systematic, one would expect a positive association between bankruptcy risk. and subsequent realized returns. However, results demonstrate that bankruptcy risk is not rewarded by higher returns. Thus, a distress factor is unlikely to account for the size and book-to-market effects. Surprisingly, firms with high bankruptcy risk earn lower than average returns since 1980. A risk-based explanation cannot fully explain the anomalous evidence.