firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn … higher return than big firms only if they have higher default risk and value stocks earn higher returns than growth stocks if … their default risk is high. In this paper we use a more advanced compound option pricing model for the computation of …

strategic shareholder actions, traditional risk factors, characteristics, or mispricing, but, instead, is consistent with a risk …-shifting hypothesis. Consistent with the risk-shifting hypothesis, we find that distressed firms tend to overinvest, destroy value, and … cases where CEOs receive above-average equity-based compensation. As default risk rises, credit spreads rise, equity betas …

disequilibria are skyrocketing and default risk premiums and tensions within the Euro area are rising, thus jeopardizing the …

Fama-French portfolios for the US markets and report that the risk factors cannot definitively identify assets with higher … average returns though they may help in identifying those with lower average risk. Further, using both Fama-French portfolios …