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Is the value premium really compensation for distress risk?

Is the value premium really compensation for distress risk?

13-05-2011 | Investigación

This study provides a comprehensive investigation of the relation between the value anomaly and distress risk. Using risk measures based on accounting models, structural models, credit spreads and credit ratings, we find no relation between the value premium and distress risk.

  • Joop  Huij
    Joop
    Huij
    Portfolio Manager, Head of Factor Investing Equities and Factor Index Research
  • Wilma de Groot, PhD
    Wilma
    de Groot, PhD
    CFA, Executive Director, Head of Core Quant Equities

Our findings are inconsistent with the notion that the value effect is a compensation for distress risk.

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