کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10226863 | 1701312 | 2018 | 34 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Financial distress and equity returns: A leverage-augmented three-factor model
ترجمه فارسی عنوان
منافع مالی و بازده سهام: یک مدل سه فاکتور تقویت اهرم
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
چکیده انگلیسی
Our study examines whether financial distress risk is systematic risk using twelve portfolios sorted by size, book-to-market, and leverage and a portfolio of distressed firms covering an 18-year period. It also tests the explanatory power of the risk factors that best capture default risk. The empirical findings show that: (i) equity portfolio investment requires systematically both size and value premiums and that SMB and HML capture additional risk missed by the market portfolio; (ii) the leverage risk premium is positive for highly leveraged firms; and (iii) the risk premium for the relative distress factor is significant only for the distressed firm portfolio. Overall, our results have practical implications for portfolio managers since they advocate a leverage-augmented three-factor model to accurately price assets and to implement efficient portfolio strategies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 46, December 2018, Pages 1-15
Journal: Research in International Business and Finance - Volume 46, December 2018, Pages 1-15
نویسندگان
Sabri Boubaker, Taher Hamza, Javier Vidal-GarcÃa,