Chaiyakul, T. Bangassa, K. and Iskandrani, M. 2016. Handbook of Frontier Markets.
Chang, Woo-Jin Hayes, Rachel M. and Hillegeist, Stephen A. 2016. Financial Distress Risk and New CEO Compensation. Management Science, Vol. 62, Issue. 2, p. 479.
Chen, Long Zhang, Gaiyan and Zhang, Weina 2016. Return predictability in the corporate bond market along the supply chain. Journal of Financial Markets, Vol. 29, p. 66.
Ferreira Filipe, Sara Grammatikos, Theoharry and Michala, Dimitra 2016. Pricing default risk: The good, the bad, and the anomaly. Journal of Financial Stability, Vol. 26, p. 190.
Hood, Frederick M. 2016. Leverage, Default Risk, and the Cross-Section of Equity and Firm Returns. Modern Economy, Vol. 07, Issue. 14, p. 1610.
Kim, Gi H. Li, Haitao and Zhang, Weina 2016. CDS-bond basis and bond return predictability. Journal of Empirical Finance, Vol. 38, p. 307.
Paulson, Anna and Rosen, Richard 2016. The Life Insurance Industry and Systemic Risk: A Bond Market Perspective. Annual Review of Financial Economics, Vol. 8, Issue. 1, p. 155.
Charitou, Andreas Karamanou, Irene and Lambertides, Neophytos 2015. Who Are the Losers of IFRS Adoption in Europe? An Empirical Examination of the Cash Flow Effect of Increased Disclosure. Journal of Accounting, Auditing & Finance, Vol. 30, Issue. 2, p. 150.
Yeh, Chung-Ying Hsu, Junming Wang, Kai-Li and Lin, Che-Hui 2015. Explaining the default risk anomaly by the two-beta model. Journal of Empirical Finance, Vol. 30, p. 16.
Conrad, Jennifer Kapadia, Nishad and Xing, Yuhang 2014. Death and jackpot: Why do individual investors hold overpriced stocks?. Journal of Financial Economics, Vol. 113, Issue. 3, p. 455.
Da, Zhi Liu, Qianqiu and Schaumburg, Ernst 2014. A Closer Look at the Short-Term Return Reversal. Management Science, Vol. 60, Issue. 3, p. 658.
Ye, Qing and Turner, John D. 2014. The cross-section of stock returns in an early stock market. International Review of Financial Analysis, Vol. 34, p. 114.
Ak, B Korcan Dechow, Patricia M Sun, Yuan and Wang, Annika Yu 2013. The use of financial ratio models to help investors predict and interpret significant corporate events. Australian Journal of Management, Vol. 38, Issue. 3, p. 553.
Charitou, Andreas Dionysiou, Dionysia Lambertides, Neophytos and Trigeorgis, Lenos 2013. Alternative bankruptcy prediction models using option-pricing theory. Journal of Banking & Finance, Vol. 37, Issue. 7, p. 2329.
Chen, Che-Min and Lee, Han-Hsing 2013. Default Risk, Liquidity Risk, and Equity Returns: Evidence from the Taiwan Market. Emerging Markets Finance and Trade, Vol. 49, Issue. 1, p. 101.
Wei, Kelsey D. and Starks, Laura T. 2013. Foreign Exchange Exposure Elasticity and Financial Distress. Financial Management, Vol. 42, Issue. 4, p. 709.
O'Doherty, Michael S. 2012. On the Conditional Risk and Performance of Financially Distressed Stocks. Management Science, Vol. 58, Issue. 8, p. 1502.
Cai, Jie and Zhang, Zhe 2011. Leverage change, debt overhang, and stock prices. Journal of Corporate Finance, Vol. 17, Issue. 3, p. 391.
Da, Zhi Gao, Pengjie and Jagannathan, Ravi 2011. Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds. Review of Financial Studies, Vol. 24, Issue. 3, p. 675.
GARLAPPI, LORENZO and YAN, HONG 2011. Financial Distress and the Cross-section of Equity Returns. The Journal of Finance, Vol. 66, Issue. 3, p. 789.
We show that the abnormal returns on high default risk stocks documented by Vassalou and Xing (2004) are driven by short-term return reversals rather than systematic default risk. These abnormal returns occur only during the month after portfolio formation and are concentrated in a small subset of stocks that had recently experienced large negative returns. Empirical evidence supports the view that the short-term return reversal arises from a liquidity shock triggered by a clientele change.
This list contains references from the content that can be linked to their source. For a full set of references and notes please see the PDF or HTML where available.
Email your librarian or administrator to recommend adding this journal to your organisation's collection.
Full text views reflects the number of PDF downloads, PDFs sent to Google Drive, Dropbox and Kindle and HTML full text views.
Abstract views reflect the number of visits to the article landing page.
* Views captured on Cambridge Core between September 2016 - 22nd March 2017. This data will be updated every 24 hours.