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Do Stock Returns Really Decrease with Default Risk? New International Evidence

Published in Management Science • Apr 28, 2017
NobleIDNI8P59W66R52S35
Authors:
Kevin Aretz
,
Chris Florackis
,
Alexandros Kostakis

Abstract

This study constructs a novel data set of bankruptcy filings for a large sample of non-U.S. firms in 14 developed markets and sheds new light on the cross-sectional relation between default risk and stock returns. Using the reduced-form approach of Campbell et al. (2008) to estimate default probabil...

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