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• W4220857541 abstract "Empirical research has documented a negative relationship between distress risk and stock returns. This negative risk–return trade-off, known as the distress puzzle, poses a challenge to asset pricing models. In this study, we provide a new explanation of the distress puzzle by considering the effect of arbitrage asymmetry. We find that the negative distress risk–return relation is stronger in stocks that have higher limits of arbitrage. The investors are virtually unable to short sell mispriced high distress risk stocks due to the low supply of lendable stocks from institutions and that arbitrage is costly. In addition, we show that the limits of arbitrage effect is distinct from liquidity effect in explaining the distress puzzle." @default.
• W4220857541 created "2022-04-03" @default.
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• W4220857541 date "2022-03-15" @default.
• W4220857541 modified "2023-09-25" @default.
• W4220857541 title "What drives the distress risk–return puzzle? A perspective on limits of arbitrage" @default.
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• W4220857541 doi "https://doi.org/10.1002/ijfe.2608" @default.
• W4220857541 hasPublicationYear "2022" @default.
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