Book‐to‐Market Equity, Distress Risk, and Stock Returns
发现，在困境风险最高的公司中，高账面市值比股票与低账面市值比股票的收益差异是其他公司的两倍以上，且该差异无法用三因子模型或经济基本面解释，支持错误定价观点。
ABSTRACT This paper examines the relationship between book‐to‐market equity, distress risk, and stock returns. Among firms with the highest distress risk as proxied by Ohlson's (1980) O‐score, the difference in returns between high and low book‐to market securities is more than twice as large as that in other firms. This large return differential cannot be explained by the three‐factor model or by differences in economic fundamentals. Consistent with mispricing arguments, firms with high distress risk exhibit the largest return reversals around earnings announcements, and the book‐to‐market effect is largest in small firms with low analyst coverage.