haku: @indexterm Financial risk / yhteensä: 628
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| Tekijä: | Griffin, J. M. Lemmon, M. L. |
| Otsikko: | Book-to-market equity, distress risk, and stock returns |
| Lehti: | Journal of Finance
2002 : OCT, VOL. 57:5, p. 2317-2336 |
| Asiasana: | Equity capital Stock returns Financial risk |
| Kieli: | eng |
| Tiivistelmä: | The paper examines the relationship between book-to-market equity, distress risk, and stock returns. Among firms with the highest distress risk as proxied by Ohlson's (1980) O-score, the difference in returns between high and low book-to-market securties is more than twice as large as that in other firms. Consistent with mispricing arguments, firms with high distress risk exhibit the largest return reversals around earnings announcements, and the book-to-market effect is largest in small firms with low analyst coverage. |
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