Default Risk, Shareholder Advantage, and Stock Returns*

Default Risk, Shareholder Advantage, and Stock Returns∗

In this paper, we study the relationship between default probability and stock returns. Using the market-based measure of Expected Default Frequency— (EDF—) constructed by Moody’s KMV, we first demonstrate that higher default probabilities are not necessarily associated with higher expected stock returns, a finding that complements the existing empirical evidence. We then show that the puzzling...

Stock Returns Prior To Contentious Shareholder Votes

We define annual shareholder meetings as contentious if one or more ballot items are likely to obtain sufficient shareholder votes to induce a firm to implement governance changes. Using a sample of almost 28,000 meetings between 2003 and 2012, we find that abnormal stock returns over the 40-day period prior to contentious meetings are significantly positive and higher than prior to non-content...

Comoment risk and stock returns

Article history: Received 27 June 2012 Received in revised form 26 June 2013 Accepted 2 July 2013 Available online 10 July 2013 We estimate investable comoment equity risk premiums for the US markets. The stock's contribution to the asymmetry and the fat tails of the market portfolio's payoff are priced into a coskewness premium and a cokurtosis premium. We construct zero-investment strategies ...

Stock Liquidity and Default Risk*

Shareholder Risk and Returns in Union and Nonunion Firms

This study examines shareholder risk and rates of return in union and nonunion companies in 1973-87. Shareholder risk declined with the extent of union coverage in the 1970s, and returns were lower among highly unionized companies than among other companies during the late 1970s and early 1980s. Unionnonunion differences in risk were small and insignificant by the mid-1980s, however, and there ...