Please use this identifier to cite or link to this item:
|Document Type: ||Article|
|Title: ||Does Financial Distress Risk Drive the Momentum Anomaly?|
|Authors: ||Agarwal, Vineet|
Taffler, Richard J.
|Issue Date: ||2008|
|Citation: ||Vineet Agarwal V and Richard Taffler, Does Financial Distress Risk Drive the Momentum Anomaly?, Financial Management, 2008, Volume 37, Number 3, Pages 461-484.|
|Abstract: ||This paper brings together the evidence on two asset pricing anomalies-continuation of prior returns (momentum) and the market mispricing of distressed firms-using UK data. Our analysis demonstrates both these effects are driven by market underreaction to financial distress risk. In particular, we find momentum is proxying for distress risk, and is largely subsumed by our distress risk factor. We also find, as with US studies, no evidence that size and book-to-market (B/M) effects in stock returns are linked to financial distress.|
|Appears in Collections:||Staff publications - School of Management|
Items in CERES are protected by copyright, with all rights reserved, unless otherwise indicated.