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Aggregate Distress Risk and Equity Returns

https://doi.org/10.2139/ssrn.2637993
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Outgoing claims: the papers this work cites, builds on, or argues with.

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On estimating the expected return on the market
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Expected stock returns and volatility
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Business conditions and expected returns on stocks and bonds
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Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns
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A resolution of the distress risk and leverage puzzles in the cross section of stock returns
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Tracking down distress risk
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Death and jackpot: Why do individual investors hold overpriced stocks?
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The volatility of a firm's assets and the leverage effect
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The investment manifesto
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Does wage rigidity make firms riskier? Evidence from long-horizon return predictability
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Stock prices, firm size, and changes in the federal funds rate target
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The relation between implied and realized volatility
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Tests of equal forecast accuracy and encompassing for nested models
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Yield Spreads as Alternative Risk Factors for Size and Book-to-Market
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A Tale of Fear and Euphoria in the Stock Market
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Forecasting Bankruptcy More Accurately: A Simple Hazard Model
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Risk, Return, and Equilibrium: Empirical Tests
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Liquidity Risk and Expected Stock Returns
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Investment Shocks and Asset Prices
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How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?
inferredcites →https://doi.org/10.1093/rfs/hhl044openalex-snapshot
Default Risk, Shareholder Advantage, and Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhm014openalex-snapshot
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1093/rfs/hhn043openalex-snapshot
Average Idiosyncratic Volatility in G7 Countries
inferredcites →https://doi.org/10.1093/rfs/hhn044openalex-snapshot
Forecasting Default with the Merton Distance to Default Model
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On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle
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Return Reversals, Idiosyncratic Risk, and Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhp107openalex-snapshot
Is Default Risk Negatively Related to Stock Returns?
inferredcites →https://doi.org/10.1093/rfs/hhq085openalex-snapshot
What's Vol Got to Do with It
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Originate-to-distribute Model and the Subprime Mortgage Crisis
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Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks
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Digesting Anomalies: An Investment Approach
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Wage Rigidity: A Quantitative Solution to Several Asset Pricing Puzzles
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Is the Risk of Bankruptcy a Systematic Risk?
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The Relation Between Treasury Yields and Corporate Bond Yield Spreads
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Firm Size and Cyclical Variations in Stock Returns
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Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
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The Determinants of Credit Spread Changes
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Book‐to‐Market Equity, Distress Risk, and Stock Returns
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ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
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Structural and Return Characteristics of Small and Large Firms
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The Conditional CAPM and the Cross-Section of Expected Returns
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Multifactor Explanations of Asset Pricing Anomalies
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On Stock Market Returns and Monetary Policy
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00650.xopenalex-snapshot
Default Risk in Equity Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00759.xopenalex-snapshot
Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00849.xopenalex-snapshot
Do the Fama–French Factors Proxy for Innovations in Predictive Variables?
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01652.xopenalex-snapshot
Financial Distress and the Cross‐section of Equity Returns
inferredcites →https://doi.org/10.1111/jofi.12143openalex-snapshot
The Cross‐Section of Credit Risk Premia and Equity Returns
inferredcites →https://doi.org/10.1142/9789814335409_0003openalex-snapshot
“Explaining the Rate Spread on Corporate Bonds”
inferredcites →https://doi.org/10.1257/aer.102.4.1692openalex-snapshot
Credit Spreads and Business Cycle Fluctuations
inferredcites →https://doi.org/10.1257/aer.20170156openalex-snapshot
The Elephant in the Room: The Impact of Labor Obligations on Credit Markets
inferredcites →https://doi.org/10.1287/mnsc.1110.1502openalex-snapshot
On the Conditional Risk and Performance of Financially Distressed Stocks
inferredcites →https://doi.org/10.1287/mnsc.2016.2514openalex-snapshot
Credit Ratings and Credit Risk: Is One Measure Enough?
inferredcites →https://doi.org/10.2139/ssrn.1167786openalex-snapshot
Originate-to-Distribute Model and the Subprime Mortgage Crisis
inferredcites →https://doi.org/10.2139/ssrn.1905731openalex-snapshot
The Common Components of Idiosyncratic Volatility
inferredcites →https://doi.org/10.2139/ssrn.211428openalex-snapshot
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
inferredcites →https://doi.org/10.2139/ssrn.2158738openalex-snapshot
Does Wage Rigidity Make Firms Riskier? Evidence from Long-Horizon Return Predictability
inferredcites →https://doi.org/10.2139/ssrn.2174541openalex-snapshot
The Volatility Factor Structure
inferredcites →https://doi.org/10.2139/ssrn.267792openalex-snapshot
Modeling and Forecasting Realized Volatility
inferredcites →https://doi.org/10.2139/ssrn.287474openalex-snapshot
Bankruptcy Prediction With Industry Effects
inferredcites →https://doi.org/10.2139/ssrn.300802openalex-snapshot
Stock Prices, Firm Size, and Changes in the Federal Funds Rate Target
inferredcites →https://doi.org/10.2139/ssrn.366300openalex-snapshot
Asset Pricing with Liquidity Risk
inferredcites →https://doi.org/10.2139/ssrn.661346openalex-snapshot
Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
inferredcites →https://doi.org/10.2139/ssrn.770805openalex-snapshot
In Search of Distress Risk
inferredcites →https://doi.org/10.2139/ssrn.895729openalex-snapshot
Default Risk, Shareholder Advantage, and Stock Returns*
inferredcites →https://doi.org/10.2307/1913811openalex-snapshot
An Intertemporal Capital Asset Pricing Model
inferredcites →https://doi.org/10.2307/2118465openalex-snapshot
Monetary Policy, Business Cycles, and the Behavior of Small Manufacturing Firms
inferredcites →https://doi.org/10.2307/2171846openalex-snapshot
Efficient Tests for an Autoregressive Unit Root
inferredcites →https://doi.org/10.2469/dig.v41.n4.5openalex-snapshot
Predicting Financial Distress and the Performance of Distressed Stocks
inferredcites →https://doi.org/10.3386/w0444openalex-snapshot
On Estimating the Expected Return on the Market: An Exploratory Investigation
inferredcites →https://doi.org/10.3386/w10852openalex-snapshot
The Cross-Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.3386/w12036openalex-snapshot
Housing, Consumption, and Asset Pricing
inferredcites →https://doi.org/10.3386/w3989openalex-snapshot
Intertemporal Asset Pricing Without Consumption Data
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