Recovery Risk in Stock Returns

This paper argues that book-to-market and size attributes represent sensitivities of firm returns to several risk factors, and in so doing they subsume the information in other attributes.

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Year of publication:	1999-07-01
Authors:	Akgun, Aydin ; Gibson, Rajna
Publisher:	International Center for Financial Asset Management and Engineering (FAME)
Subject:	Ausfallrisiko \| Portfolio Selection \| Bewertung \| Kapitalmarkteffizienz \| Insolvenzrisiko

Table of Contents
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1. Data
2. Methodology and testing
3. Empirical results
4. Conclusion

Persistent link: https://www.econbiz.de/10005843147