Bankruptcy Risk Prediction and Pricing: Unravelling the Negative Distress Risk Premium
| dc.contributor.advisor | Agarwal, Vineet | |
| dc.contributor.author | Bauer, Julian | |
| dc.date.accessioned | 2012-06-29T09:28:40Z | |
| dc.date.available | 2012-06-29T09:28:40Z | |
| dc.date.issued | 2012-04 | |
| dc.description.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. | en_UK |
| dc.identifier.uri | http://dspace.lib.cranfield.ac.uk/handle/1826/7313 | |
| dc.language.iso | en | en_UK |
| dc.publisher | Cranfield University | en_UK |
| dc.rights | © Cranfield University, 2012. All rights reserved. No part of this publication may be reproduced without the written permission of the copyright owner. | en_UK |
| dc.title | Bankruptcy Risk Prediction and Pricing: Unravelling the Negative Distress Risk Premium | en_UK |
| dc.type | Thesis or dissertation | en_UK |
| dc.type.qualificationlevel | Doctoral | en_UK |
| dc.type.qualificationname | PhD | en_UK |