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An intertemporal CAPM with stochastic volatility
Campbell, John Y.; Giglio, Stefano; Polk, Christopher; … - 2015
Persistent link: https://www.econbiz.de/10011300980
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In search of distress risk
Campbell, John Y.; Hilscher, Jens; Szilagyi, Jan - 2006
Persistent link: https://www.econbiz.de/10003357969
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In search of distress risk
Campbell, John Y.; Hilscher, Jens; Szilagyi, Jan - In: The journal of finance : the journal of the American … 63 (2008) 6, pp. 2899-2939
Persistent link: https://www.econbiz.de/10003823141
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In search of distress risk
Campbell, John Y.; Hilscher, Jens; Szilagyi, Jan - 2005
betas, and loadings on value and small-cap risk factors than stocks with a low risk of failure. These patterns hold in all … size effects are compensation for the risk of financial distress. …
Persistent link: https://www.econbiz.de/10003293151
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In Search of Distress Risk
Campbell, John Y. - 2006
betas, and loadings on value and small-cap risk factors than stocks with a low risk of failure. These patterns hold in all … size effects are compensation for the risk of financial distress …
Persistent link: https://www.econbiz.de/10012779771
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In Search of Distress Risk
Campbell, John Y. - 2016
Persistent link: https://www.econbiz.de/10012991216
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In Search of Distress Risk
Campbell, John Y. - 2006
loadings on value and small-cap risk factors than stocks with a low risk of failure. These patterns hold in all size quintiles … are compensation for the risk of financial distress …
Persistent link: https://www.econbiz.de/10012466303
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Risk aspects of investment-based social security reform
Campbell, John Y. (contributor);  … - 2001
Persistent link: https://www.econbiz.de/10001476940
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Predicting financial distress and the performance of distressed stocks
Campbell, John Y.; Hilscher, Jens; Szilagyi, Jan - In: Journal of investment management : JOIM 9 (2011) 2, pp. 14-34
Persistent link: https://www.econbiz.de/10009305618
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Predicting Financial Distress and the Performance of Distressed Stocks
Campbell, John Y. - 2011
In this paper, we consider the measurement and pricing of distress risk.We present a model of corporate failure in … accurate than leading alternative measures of corporate failure risk. We use our measure of financial distress to examine the … market betas and that they tend to underperform safe stocks by more at times of high market volatility and risk aversion …
Persistent link: https://www.econbiz.de/10013125775