Title:Financial Distress and the Cross Section of Equity Returns财务困顿与股权收益的横截面
Author:Garlappi is at the Sauder School of Business, University of British Columbia.
             Hong Yan is at Shanghai Advanced Institute of Finance(SAIF), Shanghai Jiao Tong University.
Abstract:
We explicitly consider financial leverage in a simple equity valuation model and study the cross-sectional implications of potential shareholder recovery upon resolution of financial distress. Our model is capable of simultaneously explaining lower returns for financially distressed stocks, stronger book-to-market effects for firms with high default likelihood, and the concentration of momentum profits among low credit quality firms. The model further predicts
(i) a hump-shaped relationship between value premium and default probability, and
(ii) stronger momentum profits for nearly distressed firms with significant prospects for shareholder recovery.
Our empirical analysis strongly confirms these novel predictions.
我们在一个简单的股利现值模型中清楚地考虑了金融杠杆，并且研究了潜在股东对财务困顿改革恢复的横截面影响。我们的模型能同时解释融资困难的股票的低收益，对有高违约风险的公司较强的账面对市场的影响,在低信用评级公司中动量利润的集中。该模型进一步预测了：
（1）价值溢价与违约可能性之间的钟型关系；
（2）对几乎财务困境、带有显著股东恢复特质的公司较强的动量利润。
我们的实证分析很强的证实了这些新颖的猜测。