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Liquidity, Distress Risk and Asset Pricing Implications

Zou, Qiqi - 2016

parameter, can distort asset pricing results through distress risk estimation, and that the existing academic debate between … results, based on (i) raw and risk-adjusted portfolio returns, (ii) characteristic sorted portfolio returns, and (iii) cross …

Persistent link: https://www.econbiz.de/10012990993

A unified model of distress risk puzzles

Chen, Zhiyao; Hackbarth, Dirk; Strebulaev, Ilya A. - In: Journal of financial economics 146 (2022) 2, pp. 357-384

Persistent link: https://www.econbiz.de/10013482277

What drives the distress risk-return puzzle? : a perspective on limits of arbitrage

Sha, Yezhou; Bu, Ziwen; Wang, Zilong - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3574-3592

Persistent link: https://www.econbiz.de/10014429152

Financial Distress and Macroeconomic Risks

Athreya, Kartik B.; Mather, Ryan; Mustre-del-Rio, Jose; … - 2021

exposure to macroeconomic risk, and that FD can increase macroeconomic vulnerability. To do this, we first establish three …

Persistent link: https://www.econbiz.de/10013322291

Financial distress risk and momentum effects : evidence from China's stock market

Wang, Qian - In: International journal of economics and finance 9 (2017) 12, pp. 153-161

Persistent link: https://www.econbiz.de/10011782901

In search of distress risk in China's stock market

Gao, Li; He, Wei; Wang, Qian - In: Global finance journal 42 (2019), pp. 1-22

Persistent link: https://www.econbiz.de/10012257105

Corporate financial portfolio and distress risk : forewarned is forearmed

Chen, Xuesheng; Liu, Caixia; Liu, Zhangxin; Huang, Yongkang - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 6, pp. 1852-1864

Persistent link: https://www.econbiz.de/10014290327

A theoretical assessment on optimal asset allocations in insurance industry

Jarraya, Bilel; Bouri, Abdelfettah - In: International journal of finance & banking studies : JJFBS 2 (2013) 4, pp. 30-44

Persistent link: https://www.econbiz.de/10010532785

Disclosure and the cost of Capital : a survey of the theoretical literature

Bertomeu, Jeremy; Cheynel, Edwige - In: Abacus : a journal of accounting, finance and business … 52 (2016) 2, pp. 221-258

Persistent link: https://www.econbiz.de/10011593244

Transaction costs, liquidity risk, and the CCAPM

Liu, Weimin; Luo, Di; Zhao, Huainan - In: Journal of banking & finance 63 (2016), pp. 126-145

Persistent link: https://www.econbiz.de/10011634184