| Titre : | On the conditional risk and performance of financially distressed stocks (2012) |
| Auteurs : | Michael S. O'Doherty, Auteur |
| Type de document : | Article : texte imprimé |
| Dans : | Management science (Vol. 58 N° 8, Août 2012) |
| Article en page(s) : | pp.1502-1520 |
| Note générale : | Management |
| Langues : | Anglais |
| Tags : | Conditional CAPM Asset-pricing anomalies Distress risk Default Information |
| Résumé : | 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. |
| ISSN : | 0025-1909 |
| En ligne : | http://mansci.journal.informs.org/content/58/8/1502.short |
