Yeh, Chung-Ying; Hsu, Junming; Wang, Kai-Li; Lin, Che-Hui - In: Journal of Empirical Finance 30 (2015) C, pp. 16-33
This study attempts to explain the anomaly that firms with high-default risk earn low average realized returns. We measure default risk according to Ohlson's (1980) O-score and Campbell, Hilscher, and Szilagyi's (2008) failure probability and further implement Duffie, Saita, and Wang's (2007)...
