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Title: Distress risk anomaly and misvaluation
Authors: Andreou, Christoforos K. 
Lambertides, Neophytos 
Panayides, Photis 
Major Field of Science: Social Sciences
Field Category: Economics and Business
Keywords: Distress risk;Mispricing;Earnings management;Asset pricing anomalies
Issue Date: 2021
Source: The British Accounting Review, 2021
Journal: The British Accounting Review 
Abstract: This paper examines the effects of misvaluation on the well-documented negative relation between distress risk and stock returns (distress risk anomaly). Findings indicate that distress risk is negatively related to subsequent stock returns only in the subset of the most overvalued stocks, which is consistent with mispricing explanations provided by prior studies. The distress anomaly disappears after controlling for mispricing effects. Further analysis reveals earnings management to be one possible cause for the overvaluation of highly distressed firms. The results are robust to alternative specifications of distress risk and mispricing measures.
ISSN: 0890-8389
DOI: 10.1016/
Rights: © Elsevier
Attribution-NonCommercial-NoDerivatives 4.0 International
Type: Article
Affiliation : Cyprus University of Technology 
Appears in Collections:Άρθρα/Articles

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