Clientele Change, Liquidity Shock, and the Return on Financially Distressed Stocks
研究发现高违约风险股票的超常回报主要源于短期反转效应，而非系统性违约风险，且该效应由客户群变化引发的流动性冲击驱动。
Abstract We show that the abnormal returns on high default risk stocks documented by Vassalou and Xing (2004) are driven by short-term return reversals rather than systematic default risk. These abnormal returns occur only during the month after portfolio formation and are concentrated in a small subset of stocks that had recently experienced large negative returns. Empirical evidence supports the view that the short-term return reversal arises from a liquidity shock triggered by a clientele change.