Two Paths to Financial Distress

摘要：

One of the findings that emerges from recent empirical studies is that financially distressed stocks have large dispersion in their BM. In this paper we suggest a rational explanation for this phenomenon. Our main argument is that the likelihood of a firm becoming either low or high BM as it becomes distressed largely depends on the correlation between the cash flows of current and future projects. We develop a simple model that accounts for this correlation. Our models predictions are largely consistent with prior evidence documented in the literature. Furthermore, our model also yields new predictions that are supported by our empirical tests.

作者: Gil Aharoni Christine Brown Qi Zeng

作者单位: Department of Finance The University of Melbourne

会议类型: 国际会议

会议名称: 2008年中国金融国际年会

会议地点: 大连

会议语种:英文

页码: 1-55

在线出版日期: 2008-07-02（万方平台首次上网日期，不代表论文的发表时间）