Stock market crashes, firm characteristics, and stock returns

Jia Wang, Gulser Meric, Zugang Liu and Ilhan Meric

Journal of Banking & Finance, 2009, vol. 33, issue 9, pages 1563-1574

Abstract: 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.

Keywords: Stock; market; crash; Firm; characteristics; Stock; returns (search for similar items in EconPapers)
Date: 2009

Downloads: (external link)
http://www.sciencedirect.com/science/article/B6VCY ... 05f0e28686d101997322
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:eee:jbfina:v:33:y:2009:i:9:p:1563-1574

Access Statistics for this article

Journal of Banking & Finance is edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Series data maintained by Heidi Boesdal ().