Accounting Fundamentals and Systematic Risk: Corporate Failure over the Business Cycle
利用会计基础指标衡量企业困境的系统风险，发现衰退期失败概率的估计值在资产定价中具有显著正溢价，且该溢价与商业周期和总体失败率相关。
ABSTRACT In this paper, we use accounting fundamentals to measure systematic risk of distress. Our main testable prediction—that this risk increases with the probability of recessionary failure, P(R|F)—is based on a stylized model that guides our empirical analyses. We first apply the lasso method to select accounting fundamentals that can be combined into P(R|F) estimates. We then use the obtained estimates in asset-pricing tests. This approach successfully extracts systematic risk information from accounting data—we document a significant positive premium associated with P(R|F) estimates. The premium covaries with the news about the business cycle and aggregate failure rates. Additional tests underscore the importance of the “structure” imposed through recessionary-failure-probability estimation. The “agnostic” return predictor that relies only on past correlations between the same fundamental variables and returns exhibits markedly different properties. JEL Classifications: G12; G32; G33; M41.