John Y. Campbell is with the Department of Economics, Harvard University and NBER. Jens Hilscher is with the International Business School, Brandeis University. Jan Szilagyi is with Duquesne Capital Management LLC. The views expressed in this paper are those of the authors and do not necessarily represent the views of the authors' employers. This material is based upon work supported by the National Science Foundation under Grant No. 0214061 to Campbell. We would like to thank Robert Jarrow and Don van Deventer of Kamakura Risk Information Services (KRIS) for providing us with data on corporate bankruptcies and failures; Boris Kovtunenko and Nathan Sosner for their assistance with the Spectrum data set; Laura Serban and Adi Sunderam for research assistance, and an anonymous referee, Kent Daniel, Stuart Gilson, John Griffin, Kose John, Scott Richardson, Myron Scholes, Tyler Shumway, Bruno Solnik, Jeremy Stein, Ulf von Kalckreuth, Lu Zhang; and seminar participants at Humboldt Universität zu Berlin, HEC Paris, the University of Texas, the Wharton School, the Deutsche Bundesbank 2005 Spring Conference, the 2006 Credit Risk Conference at NYU, the 2006 NBER Behavioral Finance meeting, the Conference on Credit Risk and Credit Derivatives at the Federal Reserve Board, and the Seventh Maryland Finance Symposium for helpful comments.
In Search of Distress Risk
Version of Record online: 11 NOV 2008
© 2008 the American Finance Association
The Journal of Finance
Volume 63, Issue 6, pages 2899–2939, December 2008
How to Cite
CAMPBELL, J. Y., HILSCHER, J. and SZILAGYI, J. (2008), In Search of Distress Risk. The Journal of Finance, 63: 2899–2939. doi: 10.1111/j.1540-6261.2008.01416.x
- Issue online: 11 NOV 2008
- Version of Record online: 11 NOV 2008
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