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...
Finding related papers...
Discussions
(0)No comments yet
Be the first to share your thoughts!