Bankruptcy Risk Prediction and Pricing: Unravelling the Negative Distress Risk Premium
In sharp contrast to the basic risk-return assumption of theoretical finance, the empirical evidence shows that distressed firms underperform non-distressed firms (e.g. Dichev, 1998; Agarwal and Taffler, 2008b). Existing literature argues that a shareholder advantage effect (Garlappi and Yan, 2011),...
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| Language: | en |
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Cranfield University
2012
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| Online Access: | http://dspace.lib.cranfield.ac.uk/handle/1826/7313 |