Is Default Risk Negatively Related to Stock Returns

By Sudheer Chava, Amiyatosh Purnanandam. 2010

387 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/27456cf6b5d16cd9166cf38e6ab5fbce262566ea

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Xing-qiang Du
2. Omrane Guedhami
3. Sadok El Ghoul
4. Hernán Ortiz-Molina
5. Murray Z. Frank
6. Tao Shen
7. Eric C. So
8. Sudheer Chava

In Finance

1. Sadok El Ghoul
2. Omrane Guedhami
3. Eric C. So
4. Hernán Ortiz-Molina
5. Gordon M. Phillips
6. Murray Z. Frank
7. Rodrigo S. Verdi
8. W. Drobetz

Citations in the corpus

• The Implied Cost of Capital: A New Approach (2012, neutral): “, Gebhardt, Lee, and Swaminathan, 2001; Pástor, Sinha, and Swaminathan, 2007; Chava and Purnanandam, 2009; Chen and Zhao, 2009) and on issues related to corporate governance and disclosure (e.g., Francis, Khurana, and Pereira, 2005; Hail and Leuz, 2006ab; Hribar and Jenkins, 2004). However, there is”
• Predicting market returns using aggregate implied cost of capital (2013, neutral): “…Brav, Lehavy, and Michaely (2005), and Easton and Monahan (2005)), international asset pricing (Lee, Ng, and Swaminathan (2009)), default risk (Chava and Purnanandam (2010)), asset anomalies (Wu and Zhang (2011)), cross-sectional expected returns (Hou, van Dijk, and Zhang (2010)), stock…”
• Does Religion Matter to Equity Pricing? (2012, positive): “Given extensive recent research implying that future realized returns are exceedingly noisy unless measured over very long timeframes, we rely on the ex ante cost of equity capital in our analysis (e.g., Hail and Leuz 2006, 2009; Lundblad 2007; Pastor et al. 2008; Chava and Purnanandam 2010).”
• Policy uncertainty, investment, and the cost of capital (2018, positive): “Therefore, Frank and Shen (2016) conduct an ex-ante estimation of the cost of equity capital and derive the ICC from several versions of the Gordon growth model and the residual income model (Gebhardt et al., 2001) as implemented in Chava and Purnanandam (2010).”
• Real Asset Illiquidity and the Cost of Capital (2014, result): “These differences in the coefficients of MNoPotBuy and MTotM&A are highly suggestive of a larger impact of real asset illiquidity for firms in the low-HHI group, but in both cases a two-tailed test is unable to reject the null that the effect of real asset illiquidity is the same in both groups.”
• Corporate Diversification and the Cost of Capital (2012, methodology): “The GLS measure has been successfully employed in several asset-pricing contexts (Lee, Ng, and Swaminathan (2009), Pastor, Sinha, and Swaminathan (2008), Chava and Purnanandam (2010)).”
• The Cross-Section of Credit Risk Premia and Equity Returns (2013, positive): “Chava and Purnanandam (2010) argue that ex-post realized returns are too noisy to estimate expected returns and that using estimates based on implied cost of capital reveals a positive relation between expected stock returns and default risk.”
• Analysts’ Forecasts and Asset Pricing: A Survey (2016, methodology): “In finance, ICCs have been used to test the Intertemporal CAPM (Pástor et al. (2008)), international asset-pricing models (Lee et al. (2009)), and the pricing of default risk (Chava and Purnanandam (2010)).”
• What Drives Stock Price Movements (2013, neutral): “These three measures are similar to those used by Chava and Purnanandam (2010).”