Distress Anomaly and Shareholder Risk: International Evidence : Distress Anomaly and Shareholder Risk

Details

Serval ID
serval:BIB_E84CAD305ECB
Type
Article: article from journal or magazin.
Collection
Publications
Title
Distress Anomaly and Shareholder Risk: International Evidence : Distress Anomaly and Shareholder Risk
Journal
Financial Management
Author(s)
Eisdorfer A., Goyal A., Zhdanov A.
ISSN
0046-3892
Publication state
Published
Issued date
11/01/2018
Peer-reviewed
Oui
Language
english
Abstract
Financially distressed stocks in the United States earn puzzlingly low returns giving rise to the distress risk anomaly. We provide evidence that the anomaly exists in developed countries, but not in emerging ones. Using cross-country analyses, we explore several potential drivers of returns to distressed stocks. The distress anomaly is stronger in countries with stronger takeover legislation, lower barriers to arbitrage, and higher information transparency. In contrast, shareholder bargaining power and expected stock return skewness in a country do not affect the anomaly. These findings suggest that various aspects of shareholders’ risk play an important role in shaping distressed stocks returns.
Keywords
Economics and Econometrics, Accounting, Finance, Economics and Econometrics, Accounting, Finance
Create date
28/01/2018 23:13
Last modification date
21/08/2019 6:11
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