Stock market crashes, firm characteristics, and stock returns

被引：41

作者：

Wang, Jia ^{[1
]}

Meric, Gulser ^{[1
]}

Liu, Zugang ^{[2
]}

Meric, Ilhan ^{[3
]}

机构：

[1] Rowan Univ, Dept Accounting & Finance, Glassboro, NJ 08028 USA

[2] Penn State Univ, Dept Econ & Business, Hazleton, PA 18202 USA

[3] Rider Univ, Dept Finance, Lawrenceville, NJ 08648 USA

来源：

JOURNAL OF BANKING & FINANCE | 2009年 / 33卷 / 09期

关键词：

Stock market crash; Firm characteristics; Stock returns; CROSS-SECTION; CASH FLOW; RISK; BANKRUPTCY; PROFITS; FINANCE;

D O I：

10.1016/j.jbankfin.2009.03.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A number of studies have investigated the causes and effects of stock market crashes. These Studies mainly focus on the factors leading to a crash and on the volatility and co-movements of stock market indexes during and after the crash. However, how a stock market crash affects individual stocks and if stocks with different financial characteristics are affected differently in a stock market crash is an issue that has not received sufficient attention. In this paper, we study this issue by using data for eight major stock market crashes that have taken place during the December 31, 1962-December 31, 2007 period with a large sample of US firms. We use the event-study methodology and multivariate regression analysis to Study the determinants of stock returns in stock market crashes. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：1563 / 1574

页数：12

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