The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Is the Risk of Bankruptcy a Systematic Risk?
Abstract
Several studies suggest that a firm distress risk factor could be behind the size and the book‐to‐market effects. A natural proxy for firm distress is bankruptcy risk. If bankruptcy risk is systematic, one would expect a positive association between bankruptcy risk and subsequent realized returns. However, results demonstrate that bankruptcy risk is not rewarded by higher returns. Thus, a distress factor is unlikely to account for the size and book‐to‐market effects. Surprisingly, firms with high bankruptcy risk earn lower than average returns since 1980. A risk‐based explanation cannot fully explain the anomalous evidence.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Cited by
Investor Psychology and Asset Pricing
(2001) · The Journal of Finance · doi:10.1111/0022-1082.00379 · Cited by 2,357
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Does Academic Research Destroy Stock Return Predictability?
MCLEAN, R. D., & PONTIFF, J. (2016) · The Journal of Finance · doi:10.1111/jofi.12365 · Cited by 1,566
The implied cost of capital: A new approach
Hou, K., van Dijk, M. A., & Zhang, Y. (2012) · Journal of Accounting and Economics · doi:10.1016/j.jacceco.2011.12.001 · Cited by 561
Arbitrage risk and the book-to-market anomaly
Ali, A., Hwang, L.-S., & Trombley, M. A. (2003) · Journal of Financial Economics · doi:10.1016/s0304-405x(03)00116-8 · Cited by 518
Metadata
- Authors
- Dichev, I. D.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1998-06
- Volume
- 53
- Issue
- 3
- Pages
- 1131-1147
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2051986033
- Cited by
- 1,002
- References
- 1
- FWCI
- 15.52
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Is the Risk of Bankruptcy a Systematic Risk? https://app.cochat.ai/papers/10.1111/0022-1082.00046
- The paper
- Dichev, I. D. (1998). Is the Risk of Bankruptcy a Systematic Risk? The Journal of Finance. https://doi.org/10.1111/0022-1082.00046
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
