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STOCK RETURNS AND FINANCIAL DISTRESS RISK: EVIDENCE FROM THE ASIAN-PACIFIC MARKETS.
- Source :
- Research in Finance; 2017, Vol. 33, p123-158, 36p
- Publication Year :
- 2017
-
Abstract
- Lai, Li, Conover, and Wu (2010) propose a four-factor financial distress model to explain stock returns in the U.S. and Japanese markets. We examine this model in the stock markets of Australia, and six Asian markets (Hong Kong, Indonesia, Korea, Malaysia, Singapore, and Thailand). We find broad empirical support for the four-factor financial distress risk asset-pricing model in those markets. The four-factor financial distress asset pricing model improves explanatory power beyond the Fama--French (1993) three-factor asset pricing model in six of the seven Asian-Pacific markets (12 of 14 portfolio groupings), while the Carhart (1997) momentum-based asset pricing model only improves explanatory power beyond the Fama--French model in three of the seven markets (4 of 14 portfolio groupings). [ABSTRACT FROM AUTHOR]
- Subjects :
- STOCKS (Finance)
RATE of return on stocks
PRICING
STOCK exchanges
Subjects
Details
- Language :
- English
- ISSN :
- 01963821
- Volume :
- 33
- Database :
- Complementary Index
- Journal :
- Research in Finance
- Publication Type :
- Academic Journal
- Accession number :
- 126519885
- Full Text :
- https://doi.org/10.1108/S0196-382120170000033007