On the Conditional Risk and Performance of Financially Distressed Stocks
研究发现高破产概率股票在1980年后异常低回报，但条件CAPM能解释其表现差异：困境股票在经济不好时市场风险暴露较低。
Several recent articles find that stocks with high probabilities of bankruptcy or default earn anomalously low returns and negative unconditional capital asset pricing model (CAPM) alphas in the post-1980 period. I show that the conditional CAPM resolves the performance difference between high- and low-distress stocks. In particular, financially distressed stocks have relatively low exposure to market risk during bad economic times. I help to explain these findings through a theoretical model in which a levered firm's equity beta is negatively related to uncertainty about the unobserved value of its underlying assets. This paper was accepted by Wei Xiong, finance.