Nbook-to-market equity distress risk and stock returns

Among firms with the highest distress risk as proxied by ohlsons 1980 o. Market equity, distress risk, and stock returns griffin. If we interpret the booktomarket ratio as a proxy for distress risk, it makes no sense to exclude these negative be stocks. Abstract this paper examines the relationship between book. Size and booktomarket factors in earnings and returns. Booktomarket equity, distress risk, and stock returns by.

Booktomarket equity, distress risk, and stock returns 2319 an alternative explanation for the return patterns we document is that low booktomarket stocks are overpriced and high booktomarket stocks are underpriced e. Booktomarket equity, distress risk, and stock returns. Among firms with the highest distress risk as proxied by ohlsons 1980. Proponents of the distress risk interpretation of booktomarket equity argue that firms with high beme tend to be distressed firms with poor earnings prospects, and that investors rationally attach a high discount rate to these firms. This paper examines the relationship between booktomarket equity, distress risk, and stock returns. Consistent with mispricing arguments, firms with high distress risk exhibit the largest return reversals around earnings announcements, and the booktomarket. Booktomarket equity, distress risk, and stock returns by john m. Booktomarket equity, distress risk, and stock returns columbia. Oscore, the difference in returns between high and low booktomarket securities is more than twice as large as that in other firms. Griffin and lemmon 2002, dichev 1998, garlappi and yan 2011 campbell. Does booktomarket equity proxy for distress risk or overreaction. The distressed firms in the highbeme portfolios tend to have high. The booktomarket ratio is the book value of equity divided by market value of equity.

Griffin and lemmon 2002 examine the relationships between booktomarket equity, distress risk measured by the oscore, and stock returns. We argue that any mispricing is likely to be most pronounced in firms with a high. Does booktomarket equity proxy for distress risk or. They report that distress risk is negatively priced. Booktomarket equity, distress risk, and stock returns jstor. At the center of this controversy is the booktomarket ratio, which our study.