search query: @author Ro, B. T. / total: 5
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| Author: | Ro, B. T. Zavgren, C. V. Hsien, S.-J. |
| Title: | The effect of bankruptcy on systematic risk of common stock: an empirical assessment. |
| Journal: | Journal of Business Finance and Accounting
1992 : APR, VOL. 19:3, p. 309-328 |
| Index terms: | BANKRUPTCY RISK GEARING FINANCIAL MODELS |
| Language: | eng |
| Abstract: | Theories predict common stock risk (beta) to be an increasing function of financial risk (leverage), but prior empirical evidence fails to support this. Authors has found that the betas of our failing firms increase steadily over a period ending roughly six to nine months prior to the failure date in this study, and then level off. This finding is consistent with theoretical predictions but is in sharp contrast with prior empirical evidence supporting the stationarity of, or even decrease in , failing firms' betas. Authors has found that the difference in the results is due to our improved estimation of betas. The increase in betas for the failing firms is driven by an increase in their stock return variability rather than by a change in the correlation of returns with market movements. |
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