On the Conditional Risk and Performance of Financially Distressed Stocks

• 成果类型: Article
• 署名作者: O'Doherty, Michael S.
• 署名单位: University of Missouri System; University of Missouri Columbia
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1110.1502
• 发表日期: 2012
• 页码: 1502-1520
• 关键词: CONDITIONAL CAPM; ASSET-PRICING ANOMALIES; Distress risk; default risk; Information risk

摘要

Several recent articles find that stocks with high probabilities of bankruptcy or default earn anomalously low returns and negative unconditional capital asset pricing model (CAPM) alphas in the post-1980 period. I show that the conditional CAPM resolves the performance difference between high- and low-distress stocks. In particular, financially distressed stocks have relatively low exposure to market risk during bad economic times. I help to explain these findings through a theoretical model in which a levered firm's equity beta is negatively related to uncertainty about the unobserved value of its underlying assets.