This paper examines the effects of misvaluation on the well-documented negative relation between distress risk and stock returns (distress risk anomaly). Findings indicate that distress risk is negatively related to subsequent stock returns only in the subset of the most overvalued stocks, which is consistent with mispricing explanations provided by prior studies. The distress anomaly disappears after controlling for mispricing effects. Further analysis reveals earnings management to be one possible cause for the overvaluation of highly distressed firms. The results are robust to alternative specifications of distress risk and mispricing measures.

中文翻译：

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遇险风险异常和误估

本文研究了错误估值对困境风险与股票回报（困境风险异常）之间有据可查的负相关关系的影响。研究结果表明，困境风险仅在估值最高的股票子集中与随后的股票收益呈负相关，这与先前研究提供的错误定价解释一致。在控制了错误定价效应后，痛苦异常消失了。进一步的分析表明，盈余管理可能是导致高度陷入困境的公司估值过高的原因之一。结果对于遇险风险和错误定价措施的替代规范是稳健的。