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The Journal of Portfolio Management

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Primary Article

Recovery Risk in Stock Returns

Aydin Akgun and Rajna Gibson
The Journal of Portfolio Management Winter 2001, 27 (2) 22-31; DOI: https://doi.org/10.3905/jpm.2001.319789
Aydin Akgun
A doctoral fellow at HEC, University of Lausanne and International Center for Financial Asset Management and Engineering, in Geneva, Switzerland.
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Rajna Gibson
A professor of finance at the University of Zurich in Zurich, Switzerland.
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Abstract

The authors provide evidence that the power of book–to–market and size attributes in explaining the cross–section of stock returns may, in part, lie in the fact that these concepts subsume useful information regarding both the probability of bankruptcy and recovery rates. Other research that focuses primarily on the probability of default concludes that investors do not care about financial distress risk. The authors argue, however, that this conclusion may be premature, as the evidence suggests that investors are concerned, ex ante, about recovery rate risk as well. The findings here have important portfolio management implications.

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The Journal of Portfolio Management
Vol. 27, Issue 2
Winter 2001
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Recovery Risk in Stock Returns
Aydin Akgun, Rajna Gibson
The Journal of Portfolio Management Jan 2001, 27 (2) 22-31; DOI: 10.3905/jpm.2001.319789

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Recovery Risk in Stock Returns
Aydin Akgun, Rajna Gibson
The Journal of Portfolio Management Jan 2001, 27 (2) 22-31; DOI: 10.3905/jpm.2001.319789
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