Does Financial Distress Risk Drive the Momentum Anomaly?

Show simple item record Agarwal, Vineet - Taffler, Richard J. - 2012-12-11T23:01:01Z 2012-12-11T23:01:01Z 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 -
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
dc.title Does Financial Distress Risk Drive the Momentum Anomaly? en_UK
dc.type Article -

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