In recent years, a number of papers have established a new empirical regularity. Stocks of distressed firms vastly underperform those of financially healthy firms. It is not necessary to attribute the negative excess returns of distressed firms to inefficient or irrational markets. We show that...

I find that approximately 40 percent of the momentum profit is generated by firms that are delisted from the market during the holding period, although the proportion of these firms in the momentum portfolio is around 10 percent. Most of the delisting-profit is derived from bankrupt firms, while...

A frictionless, structural view of default has the unrealistic implication that recovery rates on bonds, measured at default, should be close to 100 percent. This suggests that standard quot;frictionsquot; such as default delays, corporate-valuation jumps, and bankruptcy costs may be important...

This paper examines the impact of stock liquidity on firm bankruptcy risk. Using the Securities and Exchange Commission decimalization regulation as a shock to stock liquidity, we establish that enhanced liquidity decreases default risk. Stocks with the highest default risk experience the...

We provide detailed descriptions, including over 550 mathematical formulas, for over 150 trading strategies across a host of asset classes (and trading styles). This includes stocks, options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles, structured assets,...

Using data on defaulted firms in the United States over the period 1982 to 1999, we show that creditors of defaulted firms recover significantly lower amounts in present-value terms when the industry of defaulted firms is in distress. We investigate whether this is purely an economic-downturn...

The English version of this paper can be found at "http://ssrn.com/abstract=3247865" http://ssrn.com/abstract=3247865.Spanish Abstract: Este libro proporciona descripciones detalladas, que incluyen más de 550 fórmulas matemáticas, para más de 150 estrategias de trading para una gran cantidad...

Financial analyses such as valuation, solvency and capital adequacy play a crucial role in bankruptcy. Over the course of the 20th century, methods of financial analysis in bankruptcy have shifted from earnings multiples to discounted cash flow (DCF) and recently to market-based approaches such...

Asset values depend on risk exposures and yet many risk measures don't take this relationship into account. This paper presents a framework for estimating monetary risk exposures. In finance the notion of risk is generally used to express potential monetary losses from adverse events, herein a...

The flows-to-equity method is often used to value highly leveraged projects, or transactions, where debt typically amortises over time according to a fixed schedule. This requires a formula that links the changing leverage over time with a time-varying equity discount rate. We show that the...