Does Financial Distress Risk Drive the Momentum Anomaly?
Date published
2008-01-01T00:00:00Z
Free to read from
Authors
Supervisor/s
Journal Title
Journal ISSN
Volume Title
Publisher
Financial Management Association -- J S Rader
Department
Type
Article
ISSN
0046-3892
Format
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.
Description
Software Description
Software Language
Github
Keywords
DOI
Rights
The definitive version is available at www3.interscience.wiley.com