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

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2.5002.0001.5001.0000.5000.000-0.500-1.000Figure 3: Factor loadings of distressed stock portfoliosRMHMLSMB0005 0510 1020 2040 4060 6080 8090 9095 9599 9900
2003m12002m12001m12000m110001001010Figure 4: Returns on long-short distressed stock portfoliosLS1090Alpha1090Market returnLS2080Alpha20801985m11986m11987m11988m11989m11990m11991m11992m11993m11994m11995m11996m11997m11998m11999m11984m11983m11982m11981m1$
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 and 44: Table 8: Double sorting on value an
Page 45: 1050-5-10-15-20-25-30Figure 2: Alph

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

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