Does Financial Distress Risk Drive the Momentum Anomaly?

Agarwal, Vineet; Taffler, Richard J.

dc.contributor.author	Agarwal, Vineet	-
dc.contributor.author	Taffler, Richard J.	-
dc.date.accessioned	2012-12-11T23:01:01Z
dc.date.available	2012-12-11T23:01:01Z
dc.date.issued	2008-01-01T00:00:00Z	-
dc.identifier.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.
dc.identifier.issn	0046-3892	-
dc.identifier.uri	http://dx.doi.org/10.1111/j.1755-053X.2008.00021.x	-
dc.identifier.uri	http://dspace.lib.cranfield.ac.uk/handle/1826/7693
dc.description.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.	en_UK
dc.language.iso	en_UK	-
dc.publisher	Financial Management Association -- J S Rader	en_UK
dc.rights	The definitive version is available at www3.interscience.wiley.com
dc.title	Does Financial Distress Risk Drive the Momentum Anomaly?	en_UK
dc.type	Article	-