Six variables that predict defaults
We discuss which variables can help us predict corporate defaults The current pandemic is triggering a stark growth in corporate...
top of page
Thought Leadership
OUR VALUE COMES FROM AN ANALYTICAL UNDERSTANDING OF THE FORCES AT WORK IN FINANCIAL MARKETS
Search
Mar 10
9 facts about distress risk
We summarise all the findings of our articles on distress risk First, financial distress can be predicted by looking at a relatively...
Mar 10
Robinhoods in search of jackpot stocks
We discuss the role of retail investors investing in distressed stocks We have done a series of posts on the returns of distress stocks....
Mar 1
Is it worth investing in distressed stocks?
We investigate whether investing in stocks that are close to default generates a premium Hundreds of firms are going bust these days....
Feb 26
When should you invest in distressed stocks?
We discuss the optimal timing of a strategy that invests in firms that are close to bankruptcy In a previous post, we provided evidence...
Feb 26
Is there alpha in distressed stocks? (U.S. evidence)
We investigate whether distressed stocks carry a premium after controlling for the exposure of the portfolio to common factors, such as...
Feb 26
Is there alpha in distressed stocks across the world?
We investigate the existence of a distress premium, controlling for common factors such as market beta, size and value, around the world....
Feb 26
How much is default risk captured by other factors?
Is there a distress risk factor? And how much of this factor is explained by other risk factors? In previous posts, we have discussed the...
Feb 26
Is there a systematic component to distress risk?
We investigate whether the systematic component of distress risk carries a premium Asset pricing theory states that those who bear...
Feb 23
What drives stock price movements?
We discuss the relative importance of cash flow news versus discount rate news, in explaining the volatility of aggregate stock returns...
Feb 23
Does the dividend/price ratio predict returns?
We discuss the predictability of aggregate stock market returns using currently observed dividend-price ratios Return predictability is...
Feb 17
Is there a jackpot in distressed equity?
Are distressed stocks more likely to generate returns above 100%? We have done a series of posts on the returns of distress stocks. We...
Feb 2
Do firms with higher leverage deliver higher returns?
We review a classic question on the relation between financial risk and equity returns, and discover that the evidence defies the theory...
Feb 2
What is the relation between asset risk and leverage?
We discuss how financial risk and asset risk are co-determined, and how this is reflected in the beta of assets and in the beta of equity...
Jan 14
Do firms have target leverage ratios?
We examine whether firms pursue an optimum leverage ratio, what factors affect optimum leverage, and how fast firms converge towards the...
Jan 14
Fishing for Alpha and catching Beta
We examine the implications of rewarding portfolio managers on the basis of Alpha, and how this can lead to an increase in the Beta of...
Jan 14
Do financially constrained firms generate higher returns?
We examine the effect of financing constraints on corporate investment, risk and equity returns In corporate finance, financing...
bottom of page