Although financial theory suggests a positive relationship between default risk and equity returns, recent empirical papers find anomalously low returns for stocks with high probabilities of default. The authors show that returns to distressed stocks previously documented are really an...

Do stocks of admired companies yield admirable returns? Are increases in admiration followed by high stock returns, and how reliable is the relation between admiration and returns? These questions are answered by the authors based on their study of Fortune magazine's annual list "America's Most...

We document value and momentum across thirteen well-known stock market anomalies. We find anomalies that have performed well in the past month continue to outperform those that have performed poorly by about 60bp per month. These results hold for both relative momentum and absolute momentum...

The standard measures of distress risk ignore the fact that firm defaults are correlated and that some defaults are more likely to occur in bad times. The paper uses risk premium computed from corporate credit spreads to measure a firm's exposure to systematic variation in default risk. Unlike...

Although financial theory suggests a positive relationship between default risk and equity returns, recent empirical papers find anomalously low returns for stocks with high probabilities of default. The authors show that returns to distressed stocks previously documented are really an...