Sökning: "Distress risk anomaly"

Hittade 5 uppsatser innehållade orden Distress risk anomaly.

  1. 1. Examining the Existence of the Financial Distress Risk Anomaly: Evidence from the U.S. Stock Market

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Maxime Rundström; Joel Ejdesjö; [2020]
    Nyckelord :Financial distress risk anomaly; risk-sorted portfolios; Distance-to-Default; Fama-French five-factor model;

    Sammanfattning : This paper examines the relationship between financial distress risk, estimated from a firm's distance-to-default, and equity returns on a sample of U.S. stocks between January 1990 and December 2019. LÄS MER

  3. 2. Investing on the risk of company bankruptcy

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Författare :Jan Wocalewski; Simon Bergman; [2017]
    Nyckelord :Skogsvik 1990 s pfail; Distress risk anomaly; CAPM; Portfolio analysis; Cross sectional regressions;

    Sammanfattning : We investigate the risk-return relationship between bankruptcy risk, measured by Skogsvik (1990)'s probability of firm failure ("pfail"), and stock returns on a refined stock sample on Stockholmsbörsen between 2002 and 2017. Using portfolio analysis and cross sectional regressions inspired by Fama-MacBeth (1973), we find lacking evidence to support a distress risk premium. LÄS MER

  4. 3. Distress Risk - Quality or Junk? Nordic evidence on the ability of distress risk to explain variations in stock returns

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Författare :Parham Abuhamzeh; Axel Malgerud; [2015]
    Nyckelord :Distress Anomaly; Probability of Failure; Cross Section; Asset Pricing Models; Stock Price Reaction;

    Sammanfattning : The risk-return paradigm suggests there should be a positive association between distress risk (i.e. the probability of firm failure) and subsequent excess stock returns. However, we present puzzling evidence suggesting investors are not compensated for taking on additional distress risk. LÄS MER

  5. 4. The Relationship between Expected Returns and Financial Distress Risk. Implication for Corporate Valuation

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Jan Seitz; Vilma Raisyte; [2013]
    Nyckelord :Financial Distress; Implied Cost of Equity; CAPM; Altman Z-Score; Distance-to-Default;

    Sammanfattning : Using portfolio and regression analysis, this study examines the expected returns of European companies for the period 2000-2011 with respect to financial distress risk in order to provide practical implications for corporate valuation. The relationship between realized returns and financial distress risk is found to be negative, in line with the financial distress risk anomaly acknowledged in the existing literature. LÄS MER

  7. 5. The Distress Risk Puzzle in Turbulent Times - Default risk during the financial crises

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Sanna Batz; Anders Nordström; [2011]
    Nyckelord :Distress risk puzzle; bankruptcy risk; systematic risk; asset pricing; Altman Z-score;

    Sammanfattning : Studies on whether risk of default is systematic or not have led to the discovery of the distress risk puzzle. It is a rather new anomaly and its implications are that empirical evidence seems to indicate that higher default risk results in lower returns. LÄS MER