Default Risk, Shareholder Advantage, and Stock Returns*

By Lorenzo Garlappi, Tao Shu, Hongjun Yan. 2008

336 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/28a2ffb4e4bfab6752892e4bacf013e424678be8

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Citations in the corpus

Strategic default and equity risk across countries (2012, background): “By contrast, Garlappi, Shu, and Yan (2008) conclude that the possibility of strategic default helps explain the hump-shaped relation between stock returns and the probability of default in the cross-section of US stocks.”
Is Default Risk Negatively Related to Stock Returns (2010, background): “Building on the theoretical foundation of Fan and Sundaresan (2000), Garlappi, Shu, and Yan (2008) argue that potential violation of Absolute Priority Rule (APR) can help explain the negative relation between default risk and stock returns.”
Credit Ratings and the Cross-Section of Stock Returns (2009, background): “Garlappi et al. (2008) and Garlappi and Yan (2008) suggest another risk-based explanation of the credit risk effect—that the lower returns on high credit risk stocks may be due to lower systematic risk.”
The Cross-Section of Credit Risk Premia and Equity Returns (2013, neutral): “We motivate our theoretical prediction that there is a link between asset dynamics and credit risk premium dynamics using insights from the structural model of Merton (1974). The static link between (time-invariant) real-world and risk-neutral default probabilities as well as the resulting relation ”
The international zero-leverage phenomenon (2013, positive): “Alterna- tively, we use the asset tangibility measure introduced by Berger et al. (1996) and recently used by Almeida and Campello (2007) and Garlappi et al. (2008).”
Corporate Financial Distress: An Empirical Analysis of Distress Risk (2007, background): “According to Garlappi et al. (2006), the lower returns of distressed stocks observed in many empirical studies results from a strong bargaining power of the shareholders.”
Securitisation and the Bank Lending Channel (2009, neutral): “The calculation of EDF builds on Vasicek and Kealhofer’s extension of the Black-Scholes-Merton option pricing framework to make it suitable for practical analysis as well as on the proprietary default dat abase owned by KMV (see Kealhofer, 2003, Crosbie and Bohn, 2003 and Garlappi, Shu and Yan, 200”
A Resolution of the Distress Risk and Leverage Puzzles in the Cross Section of Stock Returns (2010, result): “Though we focus on how determinants of capital structure choices affect equity pricing, our results are consistent with studies that document direct support for trade-off theories [Titman and Wessels (1988), Graham and Harvey (2001), Hovakimian, et.al. (2001), Fama and French (2002), Koraczyk and Le”
Decomposing European CDS Returns (2010, result): “This is in line with the findings for the U.S. market in Dichev (1998), Griffin and Lemmon (2002), Vassalou and Xing (2004), Garlappi et al. (2006), Campbell et al. (2008), and, most recently, Avramov et al. (2009).”
Financial Distress and the Cross Section of Equity Returns (2011, background): “22 Garlappi et al. (2008) also use the book-to-market ratio as a proxy for liquidation costs, as a low book-to-market ratio may imply that the firm is worth more as a going concern than the book value of its existing assets.”