Investing Myths: Alpha and Beta

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Several firms have used models and bond agency ratings to predict defaults to evaluate the equity performance of various ‘risk’ classes. Generally speaking, they find distressed stocks have abnormally low returns, inconsistent with return/risk assumptions. These firms have higher volatility, betas, and market cap-factors than stocks with a low risk of failure.
Studies have shown that stocks with low risk factors such as lower beta, leverage, higher profits and dividends outperform the market, consistent with the research on distressed firms. O'Shaughnessy shows similar results.


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I could have sworn I have read that distressed firms on the whole do very well (maybe Siegel?). Any decent papers that talk about low return averages for distressed stocks?