Global Relation between Financial Distress and Equity Returns
نویسندگان
چکیده
منابع مشابه
Financial Distress and the Cross Section of Equity Returns
In this paper, we provide a new perspective for understanding cross-sectional properties of equity returns. We explicitly introduce financial leverage in a simple equity valuation model and consider the likelihood of a firm defaulting on its debt obligations as well as potential deviations from the absolute priority rule (APR) upon the resolution of financial distress. We show that financial le...
متن کاملModelling extreme financial returns of global equity markets
Extreme asset price movements appear to be more pronounced recently and have major consequences for an economy’s financial stability and monetary policies. This paper investigates the extreme behaviour of equity market returns and quantifies the probabilities of these losses. Taking fourteen major equity markets the study is able to ascertain similarities and divergences in the tail returns fro...
متن کاملInternet Appendix to “Financial Distress and the Cross-section of Equity Returns”
This Internet Appendix provides additional proofs and results that are left out of the main text of the paper due to space limitation. Section I of this appendix collects proofs of the corollaries to Proposition 1 in the main text. Section II presents a general dynamic model of investment and capital structure decisions that allows for shareholder recovery in default. Section III describes the ...
متن کاملSources of risk and expected returns in global equity markets
This paper empirically examines multifactor asset pricing models for the returns and expected returns on eighteen national equity markets. The factors are chosen to measure global economic risks. Although previous studies do not reject the unconditional mean variance efficiency of a world market portfolio, our evidence indicates that the tests are low in power, and the world market betas do not...
متن کاملDistribution Risk and Equity Returns∗
In this paper we entertain the hypothesis that observed variations in income shares are the result of changes in the balance of power between workers and capital owners in labor relations. We show that this view implies that income share variations represent a risk factor of first-order importance for the owners of capital and, consequently, are a crucial determinant of the return to equity. Wh...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Review of Financial Studies
سال: 2017
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhx060