In Search of Distress Risk
用会计和市场变量构建动态logit模型预测公司破产概率，发现高破产风险股票自1981年以来收益异常低，且与价值、规模效应补偿困境风险的猜想不符。
ABSTRACT This paper explores the determinants of corporate failure and the pricing of financially distressed stocks whose failure probability, estimated from a dynamic logit model using accounting and market variables, is high. Since 1981, financially distressed stocks have delivered anomalously low returns. They have lower returns but much higher standard deviations, market betas, and loadings on value and small‐cap risk factors than stocks with low failure risk. These patterns are more pronounced for stocks with possible informational or arbitrage‐related frictions. They are inconsistent with the conjecture that the value and size effects are compensation for the risk of financial distress.