This study constructs a novel dataset of bankruptcy filings for a large sample of non-US firms in 14 developed markets and sheds new light on the cross-sectional relation between default risk and stock returns. Using the reduced-form approach of Campbell et al. (2008) to estimate default...

This paper examines whether Prompt Corrective Action (PCA) was effective in reducing default and credit risk in U.S. banking. We employ parametric, non-parametric, nonlinear and switching cointegration tests and a general-to-specific testing procedure to examine if PCA-defined bank ratios and...