Article : texte imprimé

On the conditional risk and performance of financially distressed stocks

Michael S. O'Doherty, Auteur |

Dans Management science (Vol. 58 N° 8, Août 2012)

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[...]

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