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Journal of Accounting and Business Education
s: This research investigates the presence of Credit Risk-Return Puzzle on Indonesia, China, Japan and Singapore, by analyzing the relationship between credit risk and stock return with the utilization of credit ratings from Moody's to represent credit risk. The data comprises of monthly data from January 2001 to December 2015, compiled in an unbalanced panel and then regressed with the Hausman-Taylor Estimator due to the presence of time-invariant variables such as countries and countryfatcat:niok5w5p35ctzojhdxyvdkiw3y