...Maria Ogneva; Joseph D. Piotroski; Anastasia A. Zakolyukina ABSTRACT In this paper, we use accounting fundamentals to measure systematic risk of distress. Our main testable prediction—that this risk increases with the probability of recessionary failure, P(R|F)—is based...

.... We document that higher (or equivalently, lower R²) resembles noise. In addition, we show, analytically and empirically, that different results obtain when using R² or because the systematic risk inherent in the R² metric is also correlated...

... accruals quality systematic risk January effect; seasonality tax loss selling Whether information risk independently affects a firm's cost of equity capital continues to be a controversial issue. In the accounting literature, an important but unresolved question...