Default Risk in Equity Returns
By Maria Vassalou, Yuhang Xing. 2004
1,984 citations recorded by the source corpus.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/860a5a084f2f25460b3f2b78965611f6e87c6004
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Accounting
- Amiyatosh Purnanandam
- Murillo Campello
- Scott A. Richardson
- Julian Bauer
- Martin Walker
- Hongjun Yan
- Alexander Philipov
- Gergana Jostova
In Finance
- Doron Avramov
- Amiyatosh Purnanandam
- Hongjun Yan
- Jens Hilscher
- John Y. Campbell
- Murillo Campello
- J. Szilágyi
- Alexander Philipov
Citations in the corpus
- Low‐Risk Anomalies? (2020, neutral): “, 2005; Carr and Wu, 2009, 2011), our work also provides new insights on the distress puzzle (e.g. Dichev, 1998; Vassalou and Xing, 2004; Campbell et al., 2008), and complements recent research that provides evidence for a link between credit risk premia and equity returns (e.”
- Macroeconomic risks and characteristic-based factor models (2010, methodology): “…and SMB, capture shocks to economic growth expectations (Vassalou, 2003; Liew and Vassalou, 2000), default risk (Hahn and Lee, 2006; Petkova, 2006; Vassalou and Xing, 2004) and the term structure (Hahn and Lee, 2006; Petkova, 2006), the focus of these studies is on one single macroeconomic…”
- Default Risk, Shareholder Advantage, and Stock Returns* (2008, positive): “The results for the equally-weighted portfolios with raw returns are similar to those obtained by Vassalou and Xing (2004) who use their own EDF-mimicking measure for default likelihood.16 Vassalou and Xing (2004) claim that such a pattern is indicative of positively priced default risk and dismiss ”
- Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide (2013, positive): “This measure is motivated by Merton’s (1974) bond pricing model and estimated for each firm at the end of each year following the procedure in Vassalou and Xing (2004).”
- A Resolution of the Distress Risk and Leverage Puzzles in the Cross Section of Stock Returns (2010, methodology): “Vassalou and Xing (2004) estimate the probability of default using Merton’s (1974) model and reach a conclusion different from Dichev (1998), Griffin and Lemmon (2002), Campbell, et.al.”
- Decomposing European CDS Returns (2010, methodology): “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).”
- Is Size Dead? A Review of the Size Effect in Equity Returns (2011, neutral): “Vassalou and Xing (2004) investigate the relation between the size and bookto-market effects and default risk, defined as the risk that a firm fails to service its debt obligations.”