The 2007--2009 financial crisis: changing market dynamics and the impact of credit supply and aggregate demand sensitivity

Theoharry Grammatikos and Robert Vermeulen

Applied Economics, 2014, vol. 46, issue 8, 895-911

Abstract: This article singles out the determinants of changes in US firms' systematic risk and idiosyncratic return induced by the 2007--2009 financial crisis. After establishing that systematic risk changes during the crisis, the results show that higher operational and financial leverage coincide with an increase in systematic risk, while high cash availability is associated with a decrease in systematic risk. The crisis-induced idiosyncratic return worsens with increasing financial leverage, higher sensitivity to aggregate demand shocks and banking sector problems, and lower operational leverage. Additional results show that the aforementioned variables have economically large effects on firm performance during the crisis.

Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2013.859379 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity (2012)
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: https://EconPapers.repec.org/RePEc:taf:applec:v:46:y:2014:i:8:p:895-911

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2013.859379

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().