Is the Risk of Bankruptcy a Systematic Risk?
检验破产风险是否属于系统性风险，发现高破产风险的公司并未获得更高回报，反而自1980年以来回报低于平均水平，表明破产风险不是系统性风险，也无法解释规模效应和账面市值比效应。
Several studies suggest that a firm distress risk factor could be behind the size and the book‐to‐market effects. A natural proxy for firm distress is bankruptcy risk. If bankruptcy risk is systematic, one would expect a positive association between bankruptcy risk and subsequent realized returns. However, results demonstrate that bankruptcy risk is not rewarded by higher returns. Thus, a distress factor is unlikely to account for the size and book‐to‐market effects. Surprisingly, firms with high bankruptcy risk earn lower than average returns since 1980. A risk‐based explanation cannot fully explain the anomalous evidence.