FINANCIAL DISTRESS HAS BOTH DIRECT AND INDIRECT COSTS (Warner (1977), Altman (2010)
Heitor Almeida, Thomas Philippon, Tony Saunders, Ken Singleton, Rob Stambaugh, Jos Van Bommel, ...
Financial distress is more likely to happen in bad times. The present value of distress costs therefore depends on risk premia. We estimate this value using risk-adjusted default probabilities...
2007): “The Risk-Adjusted Cost of Financial Distress (2009)
Heitor Almeida, Rob Stambaugh, Jos Van Bommel, Ivo Welch
Financial distress is more likely to happen in bad times. The present value of distress costs therefore depends on risk premia. We estimate this value using risk-adjusted default probabilities...
Jacob Boudoukh, Tom Smith, Shanken (the Referee, Don Keim, Ken Singleton, Rob Stambaugh, ...
Is the ex ante risk premi A new approach to testing conditiona asset pricing models*
2007): “The Risk-Adjusted Cost of Financial Distress (2008)
Heitor Almeida, Rob Stambaugh, Jos Van Bommel, Ivo Welch
Financial distress is more likely to happen in bad times. The present value of distress costs therefore depends on risk premia. We estimate this value using risk-adjusted default probabilities...
Ralph S. J. Koijen, Lieven Baele, Bo Becker, Jonathan Berk, Lans Bovenberg, Michael Br, ...
I use structural portfolio management models to study the joint cross-sectional distribution of managerial ability and risk preferences using manager-level data. The economic restrictions following...
2005): “Judging Fund Managers by the Company They Keep (2007)
Randolph Cohen, Joshua Coval, Gene Fama, Owen Lamont, Rob Stambaugh, Pietro Veronesi, ...
We develop a performance evaluation approach in which a fund manager's skill is judged by the extent to which his investment decisions resemble the decisions of managers with distinguished...
Whom you know matters: Venture capital networks and investment performance (2007)
Yael Hochberg, Alexander Ljungqvist, Yang Lu, Mitch Petersen, Jesper Sorensen, Morten Sorensen, ...
Many financial markets are characterized by strong relationships and networks, rather than arm’s-length, spot-market transactions. We examine the performance consequences of this organizational...
Meenakshi Sinha, Bhaskaran Swaminathan, Doug Diamond, Gene Fama, Toby Moskowitz, Rob Stambaugh, ...
We reexamine the time-series relation between the conditional mean and variance of stock market returns. To proxy for the conditional mean return, we use the implied cost of capital, computed using...
Dynamic portfolio selection by augmenting the asset space (2006)
Michael W. Brandt, Pedro Santa-clara, Rob Stambaugh, Rossen Valkanov, Luis Viceira, Shu Yan
We present a novel approach to dynamic portfolio selection that is no more difficult to implement than the static Markowitz model. The idea is to expand the asset space to include simple...
Supply and Demand Shifts in the Shorting Market Lauren Cohen, (2005)
Karl B. Diether, Christopher J. Malloy, Jeanne Sinquefield, Rob Stambaugh, Jeremy Stein, Ralph Walkling, ...
Using proprietary data on stock loan fees and quantities from a large institutional investor, we examine the link between the shorting market and stock prices. Employing a unique identification...
Lubo Sp Astor, Pietro Veronesi, John Cochrane, George Constantinides, Doug Diamond, Frank Diebold, ...
We argue that the number of ¯rms going public changes over time in response to time variation in market conditions. We develop a model of optimal IPO timing in which IPO waves are caused by declines...
We Thank Aless, Ro Beber, Roger Edelen, Simon Gervais, Nick Souleles, Rob Stambaugh, ...
Morgan Stanley Dean Witter Investment Management for helpful comments. In addition, we thank Patricia Kelt of GovPX for explaining their data. Financial support from the Rodney L. White Center for...