Abstract

http://ssrn.com/abstract=1593728
 
 

References (24)



 
 

Citations (20)



 


 



Anomalies and Financial Distress


Doron Avramov


Hebrew University of Jerusalem

Tarun Chordia


Emory University - Department of Finance

Gergana Jostova


George Washington University - Department of Finance

Alexander Philipov


George Mason University - Finance Area

April 3, 2012


Abstract:     
This paper explores commonalities across asset-pricing anomalies. In particular, we assess implications of financial distress for the profitability of anomaly-based trading strategies. Strategies based on price momentum, earnings momentum, credit risk, dispersion, idiosyncratic volatility, and capital investments derive their profitability from taking short positions in high credit risk firms that experience deteriorating credit conditions. In contrast, the value-based strategy derives most of its profitability from taking long positions in high credit risk firms that survive financial distress and subsequently realize high returns. The accruals anomaly is an exception - it is robust among high and low credit risk firms in all credit conditions.

Number of Pages in PDF File: 45

Keywords: asset-pricing anomalies, credit risk, financial distress, downgrades

JEL Classification: G14, G12

working papers series


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Date posted: April 21, 2010 ; Last revised: April 4, 2012

Suggested Citation

Avramov, Doron and Chordia, Tarun and Jostova, Gergana and Philipov, Alexander, Anomalies and Financial Distress (April 3, 2012). Available at SSRN: http://ssrn.com/abstract=1593728 or http://dx.doi.org/10.2139/ssrn.1593728

Contact Information

Doron Avramov
Hebrew University of Jerusalem ( email )
Mount Scopus
Jerusalem, IL 91905
Israel
HOME PAGE: http://pluto.huji.ac.il/~davramov/
Tarun Chordia
Emory University - Department of Finance ( email )
Atlanta, GA 30322-2710
United States
404-727-1620 (Phone)
404-727-5238 (Fax)
Gergana Jostova (Contact Author)
George Washington University - Department of Finance ( email )
2201 G Street
Funger Hall, Suite 501
Washington, DC 20052
United States
202-994-7478 (Phone)
HOME PAGE: http://home.gwu.edu/~jostova
Alexander Philipov
George Mason University - Finance Area ( email )
Fairfax, VA 22030
United States
HOME PAGE: http://mason.gmu.edu/~aphilipo
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