1 |
Chan, K. C., & Chen, N. F. (1991). Structural and return characteristics of small and large firms. The Journal of Finance, 46(4), 1467-1484. https://doi.org/10.1111/j.1540-6261.1991.tb04626.x
DOI
|
2 |
Chen, N. F., & Zhang, F. (1998). Risk and return of value stocks. The Journal of Business, 71(4), 501-535. https://doi.org/10.1086/209755
DOI
|
3 |
Dichev, I. D. (1998). Is the risk of bankruptcy a systematic risk? The Journal of Finance, 53(3), 1131-1147. https://doi.org/10.1111/0022-1082.00046
DOI
|
4 |
Drobetz, W., Sturmer, S., & Zimmermann, H. (2002). Conditional asset pricing in emerging stock markets. The Swiss Journal of Economics and Statistics, 138(4), 507-526. http://www.sjes.ch/papers/2002-IV-11.pdf
|
5 |
Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2), 427-465. https://doi.org/10.1111/j.1540-6261.1992.tb04398.x
DOI
|
6 |
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
DOI
|
7 |
Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. The Journal of Finance, 51(1), 55-84. https://doi.org/10.1111/j.1540-6261.1996.tb05202.x
DOI
|
8 |
Fama, E. F., & French, K. R. (1997). Industry costs of equity. Journal of Financial Economics, 43(2), 153-193. https://doi.org/10.1016/S0304-405X(96)00896-3
DOI
|
9 |
Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22. https://doi.org/10.1016/j.jfineco.2014.10.010
DOI
|
10 |
Fama, E. F., & French, K. R. (2016). Dissecting anomalies with a five-factor model. The Review of Financial Studies, 29(1), 69-103. https://doi.org/10.1093/rfs/hhv043
DOI
|
11 |
Gharghori, P., Chan, H., & Faff, R. (2009). Default risk and equity returns: Australian evidence. Pacific-Basin Finance Journal, 17(5), 580-593. https://doi.org/10.1016/j.pacfin.2009.03.001
DOI
|
12 |
Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636. https://www.journals.uchicago.edu/doi/abs/10.1086/260061
DOI
|
13 |
Foye, J. (2018). A comprehensive test of the Fama-French five-factor model in emerging markets. Emerging Markets Review, 37, 199-222. https://doi.org/10.1016/j.ememar.2018.09.002
DOI
|
14 |
Gharghori, P., Chan, H., & Faff, R. (2007). Are the FamaFrench factors proxying default risk? Australian Journal of Management, 32(2), 223-249. https://doi.org/10.1177%2F031289620703200204
DOI
|
15 |
Gibbons, M. R., Ross, S. A., & Shanken, J. (1989). A test of the efficiency of a given portfolio. Econometrica: Journal of the Econometric Society, 57(5), 1121-1152. https://doi.org/10.2307/1913625
DOI
|
16 |
Griffin, J. M., & Lemmon, M. L. (2002). Book-to-market equity, distress risk, and stock returns, The Journal of Finance, 57(5), 2317-2336. https://doi.org/10.1111/1540-6261.00497
DOI
|
17 |
Kan, R., & Zhang, C. (1999). Two-pass tests of asset pricing models with useless factors. The Journal of Finance, 54(1), 203-235. https://doi.org/10.1111/0022-1082.00102
DOI
|
18 |
Hoang, L. T., Phan, T. T., & Ta, L. N. (2020). Nominal Price Anomaly in Emerging Markets: Risk or Mispricing? Journal of Asian Finance, Economics and Business, 7(9), 125-134. https://doi.org/10.13106/jafeb.2020.vol7.no9.125
DOI
|
19 |
Iqbal, J. (2012). Stock market in Pakistan: An overview. Journal of Emerging Market Finance, 11(1), 61-91. https://doi.org/10.1177%2F097265271101100103
DOI
|
20 |
Iqbal, J., Brooks, R., & Galagedera, D. U. (2010). Testing conditional asset pricing models: An emerging market perspective. Journal of International Money and Finance, 29(5), 897-918. https://doi.org/10.1016/j.jimonfin.2009.12.004
DOI
|
21 |
Khan, U. E., Iqbal, J., & Iftikhar, F. (2020). The Riskiness of Risk Models: Assessment of Bankruptcy Risk of Non-Financial Sector of Pakistan, Business & Economic Review, 12(2). http://dx.doi.org/10.22547/BER/12.2.3
DOI
|
22 |
Lo, A. W., & MacKinlay, A. C. (1990). Data-snooping biases in tests of financial asset pricing models. The Review of Financial Studies, 3(3), 431-467. https://doi.org/10.1093/rfs/3.3.431
DOI
|
23 |
Modigliani, F., & Miller, M. H. (1958). The cost of capital, corporation finance and the theory of investment. The American Economic Review, 48(3), 261-297. https://www.jstor.org/stable/1809766
|
24 |
Shleifer, A., & Vishny, R. W. (1997). A survey of corporate governance. The Journal of Finance, 52(2), 737-783. https://doi.org/10.1111/j.1540-6261.1997.tb04820.x
DOI
|
25 |
Nurhayati, I., & Endri, E. (2020). A New Measure of Asset Pricing: Friction-Adjusted Three-Factor Model. Journal of Asian Finance, Economics and Business, 7(12), 605-613. https://doi.org/10.13106/jafeb.2020.vol7.no12.605
DOI
|
26 |
Ohlson, J. A. (1980). Financial ratios and the probabilistic prediction of bankruptcy. Journal of Accounting Research, 18(1), 109-131. https://doi.org/10.2307/2490395
DOI
|
27 |
Pojanavatee, S. (2020). Tests of a Four-Factor Asset Pricing Model: The Stock Exchange of Thailand. Journal of Asian Finance, Economics and Business, 7(9), 117-123. https://doi.org/10.13106/jafeb.2020.vol7.no9.117
DOI
|
28 |
Vassalou, M., & Xing, Y. (2004). Default risk in equity returns. The Journal of Finance, 59(2), 831-868. https://doi.org/10.1111/j.1540-6261.2004.00650.x
DOI
|
29 |
Altman, E. I. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The Journal of Finance, 23(4), 589-609. https://doi.org/10.2307/2978933
DOI
|
30 |
Agarwal, V., & Taffler, R. (2008). Does financial distress risk drive the momentum anomaly? Financial Management, 37(3), 461-484. https://www.jstor.org/stable/20486664
DOI
|
31 |
Altman, E. I., & Rijken, H. A. (2011). Toward a bottom-up approach to assessing sovereign default risk. Journal of Applied Corporate Finance, 23(1), 20-31. https://doi.org/10.1111/j.1745-6622.2011.00311.x
DOI
|
32 |
Ang, A., Liu, J., & Schwarz, K. (2010). Using stocks or portfolios in tests of factor models. Journal of Financial and Quantitative Analysis, 1-42.
|
33 |
Asis, G., Chari, A., & Haas, A., 2020. In search of distress risk in emerging markets. NBER Working Paper 27213. https://doi.org/10.0.13.58/w27213
DOI
|
34 |
Avramov, D., & Zhou, G. (2010). Bayesian portfolio analysis. Annual Review of Financial Economics, 2(1), 25-47. https://doi.org/10.1146/annurev-financial-120209-133947
DOI
|
35 |
Bauer, J. (2012). Bankruptcy risk prediction and pricing: Unravelling the negative distress risk premium. Bedford, UK: Doctoral dissertation, Cranfield University. https://dspace.lib.cranfield.ac.uk/handle/1826/7313
|
36 |
Campbell, J. Y., Hilscher, J., & Szilagyi, J. (2008). In search of distress risk. The Journal of Finance, 63(6), 2899-2939. https://doi.org/10.1111/j.1540-6261.2008.01416.x
DOI
|
37 |
Chan, H., Faff, R., & Kofman, P. (2011). Is default risk priced in Australian equity? Exploring the role of the business cycle. Australian Journal of Management, 36(2), 217-246. https://doi.org/10.1177%2F0312896211407528
DOI
|