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

More documents

Recommendations

Info

0.0350.030.0250.020.0150.010.0050Figure 1: Predicted vs. actual failure rates19721973197419751976197719781979198019811982198319841985198619871988198919901991199219931994199519961997199819992000200120022003Actual failuresPredicted failures
1050-5-10-15-20-25-30Figure 2: Alphas of distressed stock portfolios0005 0510 1020 2040 4060 6080 8090 9095 9599 99003-factorCAPMMean(%)
Page 1 and 2: H I E RHarvard Institute of Economi
Page 3 and 4: AbstractThis paper explores the det
Page 5 and 6: forecast. Some papers on bankruptcy
Page 7 and 8: Lunstedt (2004) summarize equity ma
Page 9 and 10: number of failures increases dramat
Page 11 and 12: the distributions of NIMTA and NITA
Page 13 and 14: 3 A logit model of bankruptcy and f
Page 15 and 16: Finally,weaddthelogpricepershareoft
Page 17 and 18: financial distress at long horizons
Page 19 and 20: 3.3 Other time-series and cross-sec
Page 21 and 22: An alternative possibility is that
Page 23 and 24: excess return of 10.0% with a t sta
Page 25 and 26: As a final specification check, we
Page 27: comes entirely from small value sto
Page 30: as an annualized three-month rollin
Page 33 and 34: Cohen, Randolph B., Christopher Pol
Page 35 and 36: Shumway, Tyler, 2001, Forecasting b
Page 37 and 38: Table 2: Summary statisticsThe tabl
Page 39 and 40: Table 4: Logit regressions on lagge
Page 41 and 42: Table 6: Returns on distressed stoc
Page 43: Table 8: Double sorting on value an
Page 47: 2003m12002m12001m12000m110001001010

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

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?