TY - JOUR T1 - Recovery Risk in Stock Returns JF - The Journal of Portfolio Management SP - 22 LP - 31 DO - 10.3905/jpm.2001.319789 VL - 27 IS - 2 AU - Aydin Akgun AU - Rajna Gibson Y1 - 2001/01/31 UR - https://pm-research.com/content/27/2/22.abstract N2 - 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. ER -