Book - to - Market Equity, Distress Risk, And Stock Returns  

Oleh:

Lemmon, Michael L. ; Griffin, John M.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 5 (2002), page 2317-2336.
Topik: equity; studies; rates of return; risk; size of enterprise; regression analysis; portfolio management; models
Fulltext: p 2317.pdf (148.18KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper examines the relationship between book - to - market equity, distress risk, and stock returns. Among firms with the highest distress risk as proxied by Ohlson's (1980) O - score, the difference in returns between high and low book - to - market securities is more than twice as large as that in other firms. This large return differential cannot be explained by the 3 - factor model or by differences in economic fundamentals. Consistent with mispricing arguments, firms with high distress risk exhibit the largest return reversals around earnings announcements, and the book - to - market effect is largest in small firms with low analyst coverage.

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