Conditional relationship between distress risk and stock returns

• Main Authors: YUN, Su Hee, KIM, Jung Min
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2022
• Subjects: Distress risk; Failure prediction; Fama-French factors; Systematic distress risk; Asian Studies; Corporate Finance; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/7017; https://ink.library.smu.edu.sg/context/lkcsb_research/article/8016/viewcontent/KCI_FI002818658_pvoa_nc.pdf
• Institution: Singapore Management University

Purpose: Previous research on the relationship between a firm’s distress risk and future stock returns produces inconsistent results. This study attempts to explain the conflicting results of earlier studies by showing that systematic distress risk leads to positive rewards, while unsystematic distr...