In search of distress risk in China's stock market

Li Gao, Wei He and Qian Wang

Global Finance Journal, 2019, vol. 42, issue C

Abstract: We examine the significance of size, book-to-market, and momentum factors in capturing financial distress risk in China's stock market. Consistent with the market underreaction hypothesis, we find that the momentum factor proxies for distress risk in China's stock market and that the explanatory power of momentum is subsumed when a distress factor is included in the asset pricing model. Our analysis demonstrates no evidence that size and book-to-market effects are driven by financial distress risk.11This research did not receive any specific grant from funding agencies in the public, commercial, or not-for-profit sectors.

Keywords: Financial distress risk; Size effects; Book-to-market effects; Momentum effects (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G15 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:42:y:2019:i:c:s1044028317302028

DOI: 10.1016/j.gfj.2018.08.003

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