Book‐to‐Market Equity, Distress Risk, and Stock Returns

By John M. Griffin, Michael L. Lemmon. 2002

841 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0a76dc44a337b665c21628c0a146fc3819820725

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Citations in the corpus

Accounting Anomalies and Fundamental Analysis: A Review of Recent Research Advances (2010, background): “On the other hand, Griffin and Lemmon (2002) show that firms with high distress risk exhibit the largest negative returns around earnings announcements.”
Extreme Downside Risk and Expected Stock Returns (2012, neutral): “Moreover, Dichev (1998), Griffin and Lemmon (2002), and Campbell et al. (2008), among others, have documented that firms with high bankruptcy risk are not rewarded by higher returns, which implies EDR has distinctively different risk implications from traditional bankruptcy and distress risk…”
Do private equity owners increase risk of financial distress and bankruptcy (2012, background): “This table shows medians of the indices measuring financial distress – Zmijewski-score, O-score, and the Z-score – for the samples of syndicated and stand-alone transactions (Panel A) as well as for the samples of transactions with experienced and inexperienced PE investors (Panel B).”
Beating Earnings Benchmarks and the Cost of Debt (2008, background): “Hayn (1995) first documents that there is a discontinuity in the annual earnings distribution around zero earnings: too few firms report small losses and too many firms report small profits.”
The Book-to-Price Effect in Stock Returns: Accounting for Leverage (2007, neutral): “Griffin and Lemmon (2002) report a negative correlation between O-scores and returns within low B/P stocks, but a (slight) positive correlation within high B/P stocks.”
Identifying Expectation Errors in Value/Glamour Strategies: A Fundamental Analysis Approach (2012, positive): “Similarly, Griffin and Lemmon (2002) and Penman, Richardson and Tuna (2007) show that the book-to-market effect exists after controlling for bankruptcy risk and leverage respectively.”
Default Risk, Shareholder Advantage, and Stock Returns* (2008, neutral): “This is consistent with the finding reported in Griffin and Lemmon (2002) who use O-score”
Customer-Base Concentration: Implications for Firm Performance and Capital Markets (2012, background): “Given that the distress-risk effect is driven by the low returns of the most distressed firms (Griffin and Lemmon 2002), this discrepancy is likely due to under-sampling of high distress risk firms.”
Financial Constraints Risk (2006, neutral): “1 See, for example, Fama and French (1995), Chen and Zhang (1998), Dichev (1998), and Griffin and Lemmon (2002).”
Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide (2013, neutral): “…firm size (Chari, Jagannathan, and Ofer (1988), Llorente, Michaely, Saar, and Wang (2002)), illiquidity (Glosten and Milgrom (1985)), distress risk (Griffin and Lemmon (2002)), and analyst following (Brennan and Subrahmanyam (1995), Hong, Lim, and Stein (2000), Chang, Dasgupta, and Hilary (2006)).”