Distress Anomaly and Shareholder Risk: International Evidence
研究发现财务困境股票的低回报异常不仅存在于美国，也存在于发达国家，但新兴市场没有；该异常在并购法规强、套利障碍低、信息透明度高的国家更显著，而股东议价能力和预期收益偏度无影响。
Abstract Financially distressed stocks in the United States earn puzzlingly low returns giving rise to the distress risk anomaly. We provide evidence that the anomaly exists in developed countries, but not in emerging ones. Using cross‐country analyses, we explore several potential drivers of returns to distressed stocks. The distress anomaly is stronger in countries with stronger takeover legislation, lower barriers to arbitrage, and higher information transparency. In contrast, shareholder bargaining power and expected stock return skewness in a country do not affect the anomaly. These findings suggest that various aspects of shareholders’ risk play an important role in shaping distressed stocks returns.