CERES > School of Management (SoM) > PhD, DBA, and MSc by Research theses (School of Management) >

Please use this identifier to cite or link to this item: http://dspace.lib.cranfield.ac.uk/handle/1826/7313

Document Type: Thesis or dissertation
Title: Bankruptcy Risk Prediction and Pricing: Unravelling the Negative Distress Risk Premium
Authors: Bauer, Julian
Supervisors: Agarwal, Vineet
Issue Date: Apr-2012
Abstract: In sharp contrast to the basic risk-return assumption of theoretical finance, the empirical evidence shows that distressed firms underperform non-distressed firms (e.g. Dichev, 1998; Agarwal and Taffler, 2008b). Existing literature argues that a shareholder advantage effect (Garlappi and Yan, 2011), limits of arbitrage (Shleifer and Vishny, 1997) or gambling retail investor (Kumar, 2009) could drive the underperformance. Herein, I test these potential explanations and explore the drivers of distress risk. In order to do so, I require a clean measure of distress risk. Measures of distress risk have usually been accounting-based, market-based or hybrids using both information sources. I provide the first comprehensive study that employs a variety of performance tests on different prediction models. Cont/d.
URI: http://dspace.lib.cranfield.ac.uk/handle/1826/7313
Appears in Collections:PhD, DBA, and MSc by Research theses (School of Management)

Files in This Item:

File Description SizeFormat
Julian_Bauer_Thesis_2012.pdf1.96 MBAdobe PDFView/Open

SFX Query

Items in CERES are protected by copyright, with all rights reserved, unless otherwise indicated.