Persistent Link:
http://hdl.handle.net/10150/195282
Title:
Distress Risk Premia in Stock and Bond Returns
Author:
Zhang, Jianzhong (Andrew)
Issue Date:
2008
Publisher:
The University of Arizona.
Rights:
Copyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.
Abstract:
This paper investigates whether the potential for rent extraction due to shareholders' strategic actions is reflected ex ante in stock and bond prices based on a joint study of stock and bond markets. I document that higher default probabilities are associated with higher yield spreads and bond returns but not with higher stock returns. Shareholder advantage has no significant effect on distress risk premia in stock or bond returns for firms with bonds outstanding. I also find that the negative relationship between distress risk and stock returns is more evident for firms with high trading cost and arbitrage risk. My findings suggest that the stock market, but not the bond market, misprices distress risk.
Type:
text; Electronic Dissertation
Keywords:
Distress Risk
Degree Name:
PhD
Degree Level:
doctoral
Degree Program:
Business Administration; Graduate College
Degree Grantor:
University of Arizona
Advisor:
Maxwell, William
Committee Chair:
Maxwell, William

Full metadata record

DC FieldValue Language
dc.language.isoENen_US
dc.titleDistress Risk Premia in Stock and Bond Returnsen_US
dc.creatorZhang, Jianzhong (Andrew)en_US
dc.contributor.authorZhang, Jianzhong (Andrew)en_US
dc.date.issued2008en_US
dc.publisherThe University of Arizona.en_US
dc.rightsCopyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.en_US
dc.description.abstractThis paper investigates whether the potential for rent extraction due to shareholders' strategic actions is reflected ex ante in stock and bond prices based on a joint study of stock and bond markets. I document that higher default probabilities are associated with higher yield spreads and bond returns but not with higher stock returns. Shareholder advantage has no significant effect on distress risk premia in stock or bond returns for firms with bonds outstanding. I also find that the negative relationship between distress risk and stock returns is more evident for firms with high trading cost and arbitrage risk. My findings suggest that the stock market, but not the bond market, misprices distress risk.en_US
dc.typetexten_US
dc.typeElectronic Dissertationen_US
dc.subjectDistress Risken_US
thesis.degree.namePhDen_US
thesis.degree.leveldoctoralen_US
thesis.degree.disciplineBusiness Administrationen_US
thesis.degree.disciplineGraduate Collegeen_US
thesis.degree.grantorUniversity of Arizonaen_US
dc.contributor.advisorMaxwell, Williamen_US
dc.contributor.chairMaxwell, Williamen_US
dc.contributor.committeememberHelwege, Jeanen_US
dc.contributor.committeememberOaxaca, Ronald L.en_US
dc.contributor.committeememberYao, Tongen_US
dc.contributor.committeememberTrombley, Marken_US
dc.identifier.proquest2603en_US
dc.identifier.oclc659749598en_US
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