Lai, Syou-Ching; Li, Hung-Chih; Conover, James A.; Wu, … - In: Research in finance, (pp. 51-94). 2010
We examine explicitly priced financial distress risk in post-1990 equity markets. We add a financial distress risk factor to Fama and French's (1993) three-factor model, based on Griffin and Lemmon's (2002) findings that financial distress is not fully captured by the book-to-market factor. We...
