We examine the puzzling negative relation between financial distress risk and the cross-section of expected returns. We … most recent distress risk shocks to which investors initially underreact, causing temporary overpricing of distressed … stocks. In the long run, the relation between distress risk and returns reflects the positive risk premium as distress risk …

We present an integrated framework incorporating both exogenous liquidity risk in the secondary corporate bond market … values from empirical studies that volatility risk, together with deteriorating bond market liquidity, decrease both debt and … and volatility risk in the dynamics of asset value in debt rollover models. Using an innovative theoretical approach we …

anomalously low returns, despite having relatively high CAPM betas. This paper shows it is possible to qualitatively explain this … intensity-based model of default. Distressed firms have short expected lifetimes, so they do not covary with the long-run risk …

This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage …-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect … higher funding costs. We also find that funding liquidity risk is compensated in the cross-section of expected returns …

do not find evidence that liquidity risk and the probability of informed trade influence CoC. Overall, our results …

This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage …-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect … liquidity shocks embedded in the IFRs is compensated in the cross-section of expected excess returns| agency MBS that are better …

aggregate distress risk and earn a CAPM alpha of approximately -4% a year. Both HML and SMB predict changes in future failure …This paper shows that exposure to aggregate distress risk is the underlying source of the premiums for the Fama …

The main purpose of the paper is to define a model to estimate the liquidity risk for bonds, since very frequently … bond liquidity risk are: currency, exchange, issue date, maturity, coupon type, coupon, duration, yield, rating Moody … of liquidity risk are whether the bonds are listed, the default of the bond and maturity.The fitting of the model is …

How do risky firms with low cash flow finance their liquidity needs? This paper investigates a relatively common, but … with high risk and low profits or cash flow. Compared to other types of secured credit lines, the BB loan rate is … relatively insensitive to the borrower's initial risk profile because the lender has security and the loan terms automatically …

mitigate or worsen the impact of the crisis on default risk of US industrial firms. I identify heterogeneity in short …, controlling for firm fixed effects and firm characteristics related to default risk. Consistent with the predictions in He and … firm. Moreover, the relation between pre-crisis internal financial positions and post-crisis default risk becomes stronger …