Image of Is bankruptcy risk a systematic risk? : evidence from Pakistan Stock Exchange

Text

Is bankruptcy risk a systematic risk? : evidence from Pakistan Stock Exchange

This study empirically investigates the relationship between default risk and cross- section of stock returns in the Pakistan Stock Exchange (PSX). Stock price data from all listed and delisted companies use to calculate monthly returns from 2001-2016. Ohlson?s O-score is employed to measure exposure of firm to systematic deviation within bankruptcy risk. Besides, asset-pricing models like the Capital Asset Pricing Model (CAPM) and Fama French (FF) models are employed. Portfolios are sorted in deciles by default probability. This result find that stocks of firms significantly exposed to not diversified Default Risk yield higher returns. Besides that, the FF models explain cross-sectional stock returns since factors incorporate information on financial distress and default. After that, the book-to-market equity factor is not significant in elucidating returns of distressed firms because of market inefficiency. Results have practical implications for portfolio managers and investors of an emerging economy in developing diversified portfolios during periods of uncertainty and market volatility.

Ketersediaan

Call NumberLocationAvailable
PSB lt.2 - Karya Akhir1
Penerbit JURNAL EKONOMI.,
Edisi -
Subjek Bankruptcy
Asset pricing
Systematic risk
Distress risk
Pakistan stock exchange
ISBN/ISSN -
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
Other Version/Related Tidak tersedia versi lain
Lampiran Berkas Tidak Ada Data