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Stock market crashes, firm characteristics, and stock returns

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  • Wang, Jia
  • Meric, Gulser
  • Liu, Zugang
  • Meric, Ilhan
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    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.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 33 (2009)
    Issue (Month): 9 (September)
    Pages: 1563-1574

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    Handle: RePEc:eee:jbfina:v:33:y:2009:i:9:p:1563-1574

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    Web page: http://www.elsevier.com/locate/jbf

    Related research

    Keywords: Stock market crash Firm characteristics Stock returns;

    References

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    1. Jiang, Xiaoquan & Lee, Bong-Soo, 2007. "Stock returns, dividend yield, and book-to-market ratio," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 455-475, February.
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    3. Fama, Eugene F. & French, Kenneth R., 2001. "Disappearing dividends: changing firm characteristics or lower propensity to pay?," Journal of Financial Economics, Elsevier, vol. 60(1), pages 3-43, April.
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    16. Richardson, Terry & Peterson, David R, 1999. "The Cross-Autocorrelation of Size-Based Portfolio Returns Is Not an Artifact of Portfolio Autocorrelation," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 22(1), pages 1-13, Spring.
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    Cited by:
    1. Chesney, Marc & Reshetar, Ganna & Karaman, Mustafa, 2011. "The impact of terrorism on financial markets: An empirical study," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 253-267, February.
    2. Ang, James & Mauck, Nathan, 2011. "Fire sale acquisitions: Myth vs. reality," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 532-543, March.
    3. Aman, Hiroyuki, 2013. "An analysis of the impact of media coverage on stock price crashes and jumps: Evidence from Japan," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 22-38.

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