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Campbell, John Y, Jens Hilscher and Jan Szilagyi, 2005.

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ReferencesAltman, Edward I., 1968, Financial ratios, discriminant analysis <strong>and</strong> the predictionof corporate bankruptcy, Journal of Finance 23, 589—609.Ang, Andrew, Robert J. Hodrick, Yuhang Xing, <strong>and</strong> Xiaoyan Zhang, 2005, Thecross-section of volatility <strong>and</strong> expected returns, forthcoming Journal of Finance.Asquith, Paul, Robert Gertner, <strong>and</strong> David Scharfstein, 1994, Anatomy of financialdistress: An examination of junk-bond issuers, Quarterly Journal of Economics109, 625—658.Barberis, Nicholas <strong>and</strong> Ming Huang, 2004, Stocks as lotteries: The implications ofprobability weighting for security prices, unpublished paper, Yale University<strong>and</strong> Stanford University.Bernanke, Ben S. <strong>and</strong> <strong>John</strong> Y. <strong>Campbell</strong>, 1988, Is there a corporate debt crisis?,BrookingsPapersonEconomicActivity1, 83—139.Bharath, Sreedhar <strong>and</strong> Tyler Shumway, 2004, Forecasting default with the KMV-Merton model, unpublished paper, University of Michigan.Burgstahler, D.C. <strong>and</strong> I.D. Dichev, 1997, Earnings management to avoid earningsdecreases <strong>and</strong> losses, Journal of Accounting <strong>and</strong> Economics 24, 99—126.<strong>Campbell</strong>,<strong>John</strong>Y.,MartinLettau,BurtonMalkiel,<strong>and</strong>YexiaoXu,2001,Haveindividualstocks become more volatile? An empirical exploration of idiosyncraticrisk, Journal of Finance 56, 1—43.Carhart, Mark, 1997, On persistence in mutual fund performance, Journal of Finance52, 57—82.Chacko, George, Peter Hecht, <strong>and</strong> <strong>Jens</strong> <strong>Hilscher</strong>, 2004, Time varying expected returns,stochastic dividend yields, <strong>and</strong> default probabilities, unpublished paper,Harvard Business School.Chan, K.C. <strong>and</strong> Nai-fu Chen, 1991, Structural <strong>and</strong> return characteristics of small<strong>and</strong> large firms, Journal of Finance 46, 1467—1484.Chava, Sudheer <strong>and</strong> Robert A. Jarrow, 2004, Bankruptcy prediction with industryeffects, Review of Finance 8, 537—569.29

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