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dc.contributor.authorArnott, Spencer
dc.date.accessioned2021-01-18T14:47:48Z
dc.date.available2021-01-18T14:47:48Z
dc.identifier.urihttp://hdl.handle.net/10464/14998
dc.description.abstractThis thesis addresses a fundamental topic in financial economics: the effects of distress risk in the cross section of equities returns. Initial results show that both raw and risk-adjusted excess returns are rising in distress risk, and the remainder of this thesis examines the general robustness of the distress premium. Accordingly, the additional excess returns to stocks having heightened levels of financial distress are contingent upon the stock price being low. These findings are then extended to demonstrate that these same stocks are also microcap firms, thus attributing the anomalous behaviour of distressed stocks to a common factor with many other market anomalies. The economic implication is that arbitrage profits are likely to be limited due to the high transaction costs alongside the limited investment capacity with associated low-priced, microcap stocks.en_US
dc.language.isoengen_US
dc.publisherBrock Universityen_US
dc.subjectBankruptcy predictionen_US
dc.subjectdistress risken_US
dc.subjectdistress premiumen_US
dc.subjectasset pricing anomaliesen_US
dc.titleDistress Effects in Stock Returnsen_US
dc.typeElectronic Thesis or Dissertationen_US
dc.degree.nameM.Sc. Managementen_US
dc.degree.levelMastersen_US
dc.contributor.departmentFaculty of Business Programsen_US
dc.degree.disciplineFaculty of Businessen_US
refterms.dateFOA2021-01-15T00:00:00Z


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