search query: @indexterm equity capital / total: 240
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| Author: | Johnson, D. J. |
| Title: | The Risk Behavior of Equity of Firms Approaching Bankruptcy |
| Journal: | Journal of Financial Research
1989 : SPRING, VOL. 12:1, p.33-50 |
| Index terms: | BANKRUPTCY EQUITY CAPITAL |
| Language: | eng |
| Abstract: | The risk behavior of financially menaced companies is investigated using the shifting regimes regression model first suggested by Brown, Durbin and Evans. In addition, the presence of non- synchronous trading is detected and taken into account in the regression model. The results show that the behavior of systematic risk, as firms approach bankruptcy, depends on the correct identification of periods of constant beta and on adjustment for non-synchronous trading. Other results deal with skewness and the behavior of equity risk. |
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