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Stock market crash behavior of screen-sorted portfolios

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  • Kryzanowski, Lawrence
  • Switzer, Lorne
  • Jiang, Li

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Bibliographic Info

Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 4 (1995)
Issue (Month): 3 ()
Pages: 227-244

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Handle: RePEc:eee:reveco:v:4:y:1995:i:3:p:227-244

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Web page: http://www.elsevier.com/locate/inca/620165

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References

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  1. Paul Bennett & Jeanette Kelleher, 1988. "The international transmission of stock prices disruption in October 1987," Quarterly Review, Federal Reserve Bank of New York, issue Sum, pages 17-33.
  2. Donald B. Keim, . "Dividend Yields and Stock Returns: Implications of Abnormal January Returns," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 14-85, Wharton School Rodney L. White Center for Financial Research.
  3. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, Elsevier, vol. 9(1), pages 3-18, March.
  4. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 47(2), pages 427-65, June.
  5. Ball, Ray & Kothari, S. P., 1989. "Nonstationary expected returns : Implications for tests of market efficiency and serial correlation in returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 25(1), pages 51-74, November.
  6. G. William Schwert, 1990. "Stock Volatility and the Crash of '87," NBER Working Papers 2954, National Bureau of Economic Research, Inc.
  7. Gammill, James F, Jr & Marsh, Terry A, 1988. "Trading Activity and Price Behavior in the Stock and Stock Index Futures Markets in October 1987," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 25-44, Summer.
  8. Mitchell, Mark L. & Netter, Jeffry M., 1989. "Triggering the 1987 stock market crash : Antitakeover provisions in the proposed house ways and means tax bill?," Journal of Financial Economics, Elsevier, Elsevier, vol. 24(1), pages 37-68, September.
  9. Connolly, Robert A., 1989. "An Examination of the Robustness of the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 133-169, June.
  10. Bhandari, Laxmi Chand, 1988. " Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence," Journal of Finance, American Finance Association, American Finance Association, vol. 43(2), pages 507-28, June.
  11. Roll, R., 1989. "Price Volatility, International Market Links, And Their Implications For Regulatory Policies," Papers, Columbia - Center for Futures Markets t10, Columbia - Center for Futures Markets.
  12. Karafiath, Imre, 1988. "Using Dummy Variables in the Event Methodology," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 23(3), pages 351-57, August.
  13. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 19(1), pages 3-29, September.
  14. Lehmann, Bruce N., 1990. "Residual risk revisited," Journal of Econometrics, Elsevier, Elsevier, vol. 45(1-2), pages 71-97.
  15. Seyhun, H Nejat, 1990. " Overreaction or Fundamentals: Some Lessons from Insiders' Response to the Market Crash of 1987," Journal of Finance, American Finance Association, American Finance Association, vol. 45(5), pages 1363-88, December.
  16. Greenwald, Bruce C & Stein, Jeremy, 1988. "The Task Force Report: The Reasoning behind the Recommendations," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 3-23, Summer.
  17. Litzenberger, Robert H & Ramaswamy, Krishna, 1982. " The Effects of Dividends on Common Stock Prices: Tax Effects or Information Effects?," Journal of Finance, American Finance Association, American Finance Association, vol. 37(2), pages 429-43, May.
  18. Ball, Ray, 1978. "Anomalies in relationships between securities' yields and yield-surrogates," Journal of Financial Economics, Elsevier, Elsevier, vol. 6(2-3), pages 103-126.
  19. Leland, Hayne & Rubinstein, Mark, 1988. "Comments on the Market Crash: Six Months After," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 45-50, Summer.
  20. De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Noise Trader Risk in Financial Markets," Scholarly Articles 3725552, Harvard University Department of Economics.
  21. Grossman, Sanford J, 1988. "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies," The Journal of Business, University of Chicago Press, vol. 61(3), pages 275-98, July.
  22. Mei, Jianping, 1993. "Explaining the Cross-Section of Returns via a Multi-Factor APT Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(03), pages 331-345, September.
  23. Thompson, Rex, 1985. "Conditioning the Return-Generating Process on Firm-Specific Events: A Discussion of Event Study Methods," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(02), pages 151-168, June.
  24. Bruce N. Lehmann, 1986. "Residual Risk Revisited," NBER Working Papers 1908, National Bureau of Economic Research, Inc.
  25. Bruce N. Lehmann, 1988. "Fads, Martingales, and Market Efficiency," NBER Working Papers 2533, National Bureau of Economic Research, Inc.
  26. Jaffe, Jeffrey & Keim, Donald B & Westerfield, Randolph, 1989. " Earnings Yields, Market Values, and Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 44(1), pages 135-48, March.
  27. Basu, Sanjoy, 1983. "The relationship between earnings' yield, market value and return for NYSE common stocks : Further evidence," Journal of Financial Economics, Elsevier, Elsevier, vol. 12(1), pages 129-156, June.
  28. Lehmann, Bruce N, 1990. "Fads, Martingales, and Market Efficiency," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 105(1), pages 1-28, February.
  29. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, Elsevier, vol. 14(1), pages 3-31, March.
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Cited by:
  1. Ranjeeni, Kumari, 2014. "Sectoral and industrial performance during a stock market crisis," Economic Systems, Elsevier, vol. 38(2), pages 178-193.
  2. Kollias, Christos & Papadamou, Stephanos & Stagiannis, Apostolos, 2011. "Terrorism and capital markets: The effects of the Madrid and London bomb attacks," International Review of Economics & Finance, Elsevier, Elsevier, vol. 20(4), pages 532-541, October.

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