On the conditional risk and performance of financially distressed stocks / Michael S. O'Doherty in Management science, Vol. 58 N° 8 (Août 2012)  

Public ISBD [article]  inManagement science > Vol. 58 N° 8 (Août 2012) . - pp.1502-1520 Titre : On the conditional risk and performance of financially distressed stocks Type de document : texte imprimé Auteurs : Michael S. O'Doherty, Auteur Année de publication : 2012 Article en page(s) : pp.1502-1520 Note générale : Management Langues : Anglais (eng) Mots-clés : 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 [article] On the conditional risk and performance of financially distressed stocks [texte imprimé] / Michael S. O'Doherty, Auteur . - 2012 . - pp.1502-1520. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 8 (Août 2012) . - pp.1502-1520 Mots-clés : 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

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