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Real Disinvestments and the Distress Anomaly: Evidence from Stocks, Bonds, and Loans

Shuwen Yang et al.

Journal of Financial and Quantitative Analysis2026https://doi.org/10.1017/s0022109026102701article
FT50AJG 4ABDC A*
Weight
0.50

Abstract

We argue that firms’ ability to disinvest real assets helps rationalize the negativedistress premiums in stocks, bonds, and, as we show, loans and firm assets. Usinga real-options model in which shareholders and debtholders share disinvestmentproceeds, the model suggests that the stock (debt) distress premium becomesmore negative with the proceeds paid out to that class, and that both premiumscan be negative when debtholders receive most of the proceeds. Using hard-assetdisinvestment-ability proxies, the stock (bond or loan) distress premium becomesless (more) negative with those proxies, possibly suggesting that shareholdersbenefit more strongly from non-secured-asset disinvestments.

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https://doi.org/https://doi.org/10.1017/s0022109026102701

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@article{shuwen2026,
  title        = {{Real Disinvestments and the Distress Anomaly: Evidence from Stocks, Bonds, and Loans}},
  author       = {Shuwen Yang et al.},
  journal      = {Journal of Financial and Quantitative Analysis},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1017/s0022109026102701},
}

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Real Disinvestments and the Distress Anomaly: Evidence from Stocks, Bonds, and Loans

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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