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What is Understanding Distress Risk in Firms about?
This paper explores factors that predict corporate failure and bankruptcy, and examines the risk and returns of financially distressed stocks. The authors find that stocks with higher leverage, lower profitability, smaller size, more volatile returns, and lower cash holdings face greater risks of failure. At longer prediction horizons, market capitalization, market-to-book ratio, and return volatility become more important predictors. Distressed stocks have high market betas and loadings on value and size f
- Author
- mishuk77
- Language
- EN