Online Appendix for 'Industry Distress Anomaly'

19 Pages Posted: 26 Mar 2024

See all articles by Hui Chen

Hui Chen

Massachusetts Institute of Technology

Winston Wei Dou

University of Pennsylvania - The Wharton School; National Bureau of Economic Research (NBER)

Hongye Guo

The University of Hong Kong - University of Hong Kong

Yan Ji

Hong Kong University of Science & Technology (HKUST)

Date Written: February 26, 2024

Abstract

This is the supplemental material for the paper titled “Industry Distress Anomaly” (Chen et al., 2024). It provides additional theoretical and quantitative results, and the numerical algorithm.

Keywords: Stock and Bond Returns, Supergames, Tacit Collusion, Financial Distress Anomaly

JEL Classification: G12, L13, O33, C73

Suggested Citation

Chen, Hui and Dou, Winston Wei and Guo, Hongye and Ji, Yan, Online Appendix for 'Industry Distress Anomaly' (February 26, 2024). Available at SSRN: https://ssrn.com/abstract=4738812 or http://dx.doi.org/10.2139/ssrn.4738812

Hui Chen

Massachusetts Institute of Technology ( email )

50 Memorial Drive
Cambridge, MA 02142
United States
+1 (617) 324-3896 (Phone)

Winston Wei Dou (Contact Author)

University of Pennsylvania - The Wharton School ( email )

3641 Locust Walk
Philadelphia, PA 19104-6365
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

HOME PAGE: http://www.nber.org/people/winston_wei_dou?page=1&perPage=50

Hongye Guo

The University of Hong Kong - University of Hong Kong ( email )

Pokfulam Road
Hong Kong, Hong Kong
China

Yan Ji

Hong Kong University of Science & Technology (HKUST) ( email )

Clearwater Bay
Kowloon, 999999
Hong Kong

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