Is There a Distress Risk Anomaly? Corporate Bond Spread as a Proxy for Default Risk

Although financial theory suggests a positive relationship between default risk and equity returns, recent empirical papers find anomalously low returns for stocks with high probabilities of default. The authors show that returns to distressed stoc...

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Bibliographic Details
Main Authors: Anginer, Deniz, Yildizhan, Celim
Format: Policy Research Working Paper
Language:English
Published: 2012
Subjects:
BID
BPS
CDS
S&P
Online Access:http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20100526134855
http://hdl.handle.net/10986/3804