{"id":{"repo_id":"brock","oai_identifier":"oai:brocku.scholaris.ca:10464/14998"},"canonical_url":"https://search.dev.ndltd.org/etd/brock/oai:brocku.scholaris.ca:10464/14998","repository":{"repo_id":"brock","name":"Brock University","base_url":"https://brocku.scholaris.ca/server/oai/request"},"display":{"title":"Distress Effects in Stock Returns","abstract":"This thesis addresses a fundamental topic in financial economics: the effects of distress risk in the cross section of equities returns. Initial results show that both raw and risk-adjusted excess returns are rising in distress risk, and the remainder of this thesis examines the general robustness of the distress premium. Accordingly, the additional excess returns to stocks having heightened levels of financial distress are contingent upon the stock price being low. These findings are then extended to demonstrate that these same stocks are also microcap firms, thus attributing the anomalous behaviour of distressed stocks to a common factor with many other market anomalies. The economic implication is that arbitrage profits are likely to be limited due to the high transaction costs alongside the limited investment capacity with associated low-priced, microcap stocks.","abstract_html":"This thesis addresses a fundamental topic in financial economics: the effects of distress risk in the cross section of equities returns. Initial results show that both raw and risk-adjusted excess returns are rising in distress risk, and the remainder of this thesis examines the general robustness of the distress premium. Accordingly, the additional excess returns to stocks having heightened levels of financial distress are contingent upon the stock price being low. These findings are then extended to demonstrate that these same stocks are also microcap firms, thus attributing the anomalous behaviour of distressed stocks to a common factor with many other market anomalies. The economic implication is that arbitrage profits are likely to be limited due to the high transaction costs alongside the limited investment capacity with associated low-priced, microcap stocks.","abstract_has_math":false,"creators":["Arnott, Spencer"],"institution":"Brock University","degree_name":"M.Sc. Management","degree_level":"Masters","degree_discipline":"Faculty of Business","degree_department":"Faculty of Business Programs","school":null,"contributors":[],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2021,"date_issued":"2021-01-18T14:47:48Z","date_published":"2021-01-18T14:47:48Z","updated_at":"2026-07-24T01:23:07Z","subjects":["Bankruptcy prediction","distress risk","distress premium","asset pricing anomalies"],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/10464/14998","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.department","label":"Department","values":["Faculty of Business Programs"]},{"key":"dc:creator","label":"Author","values":["Arnott, Spencer"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2021-01-18T14:47:48Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2021-01-18T14:47:48Z"]},{"key":"dc:date.issued","label":"Date","values":["2021-01-18T14:47:48Z"]},{"key":"dc:type","label":"Dc Type","values":["Electronic Thesis or Dissertation"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Faculty of Business"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Masters"]},{"key":"thesis:degree_name","label":"Degree Name","values":["M.Sc. 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Initial results show that both raw and risk-adjusted excess returns are rising in distress risk, and the remainder of this thesis examines the general robustness of the distress premium. Accordingly, the additional excess returns to stocks having heightened levels of financial distress are contingent upon the stock price being low. These findings are then extended to demonstrate that these same stocks are also microcap firms, thus attributing the anomalous behaviour of distressed stocks to a common factor with many other market anomalies. The economic implication is that arbitrage profits are likely to be limited due to the high transaction costs alongside the limited investment capacity with associated low-priced, microcap stocks."]},{"key":"dc:title","label":"Title","values":["Distress Effects in Stock Returns"]}]}],"canonical_facts":{"dc:contributor.department":["Faculty of Business Programs"],"dc:creator":["Arnott, Spencer"],"dc:date.accessioned":["2021-01-18T14:47:48Z"],"dc:date.available":["2021-01-18T14:47:48Z"],"dc:date.issued":["2021-01-18T14:47:48Z"],"dc:description.abstract":["This thesis addresses a fundamental topic in financial economics: the effects of distress risk in the cross section of equities returns. Initial results show that both raw and risk-adjusted excess returns are rising in distress risk, and the remainder of this thesis examines the general robustness of the distress premium. Accordingly, the additional excess returns to stocks having heightened levels of financial distress are contingent upon the stock price being low. These findings are then extended to demonstrate that these same stocks are also microcap firms, thus attributing the anomalous behaviour of distressed stocks to a common factor with many other market anomalies. The economic implication is that arbitrage profits are likely to be limited due to the high transaction costs alongside the limited investment capacity with associated low-priced, microcap stocks."],"dc:identifier.uri":["http://hdl.handle.net/10464/14998"],"dc:language.iso":["eng"],"dc:subject":["Bankruptcy prediction","distress risk","distress premium","asset pricing anomalies"],"dc:title":["Distress Effects in Stock Returns"],"dc:type":["Electronic Thesis or Dissertation"],"thesis:degree_discipline":["Faculty of Business"],"thesis:degree_level":["Masters"],"thesis:degree_name":["M.Sc. 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