• Medientyp: E-Book
  • Titel: Zooming in on Distress Risk : Bankruptcy vs. Other Failures
  • Beteiligte: Xing, Yuhang [VerfasserIn]; Yu, Yan [VerfasserIn]; Zhu, Xiaorui [VerfasserIn]
  • Erschienen: [S.l.]: SSRN, 2023
  • Umfang: 1 Online-Ressource (45 p)
  • Sprache: Englisch
  • DOI: 10.2139/ssrn.4342015
  • Identifikator:
  • Schlagwörter: Adaptive LASSO ; Asset Pricing ; Corporate Failure Prediction ; Discrete Hazard Model ; Financial Distress
  • Entstehung:
  • Anmerkungen:
  • Beschreibung: Bankruptcy and delisting due to other failures are two closely related yet sharplydifferent distress events. Using a state-of-the-art adaptive Lasso variable selectionmethod, we identify two different models for bankruptcy risk and other-failure risk.Both selected models gain better out-of-sample prediction performances than standardmodels in the literature. We further investigate the asset-pricing implications anddocument a persistently positive risk premium associated with bankruptcy risk, whereasthe firms with high other-failure risk do not earn significant abnormal returns. Inaddition, high bankruptcy-risk firms and high other-failure risk firms differ significantlyin their institutional ownership, analyst coverage, and corporate news releases
  • Zugangsstatus: Freier Zugang