Griffin, John M.; Lemmon, Michael L. - In: Journal of Finance 57 (2002) 5, pp. 2317-2336
This paper examines the relationship between book-to-market equity, distress risk, and stock returns. Among firms with the highest distress risk as proxied by Ohlson's (1980) O-score, the difference in returns between high and low book-to-market securities is more than twice as large as that in...
