Construct · 1 fields · 1 citations

distress risk puzzle: a standalone construct

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Asset pricing

the finding that firms with high predicted failure probability earn anomalously low rather than high subsequent returns.

In asset pricing, distress risk puzzle refers to the finding that firms with high predicted failure probability earn anomalously low rather than high subsequent returns. This meaning comes from Campbell (2008) in The Journal of Finance.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs distress3 fields · 4 citationsjingle · one word, three constructs failure4 fields · 6 citationsjingle · one word, four constructs

References

Campbell, J. Y., Hilscher, J., & Szilagyi, J. (2008). In Search of Distress Risk. The Journal of Finance, 63(6), 2899-2939. https://doi.org/10.1111/j.1540-6261.2008.01416.x

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