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Hierarchical Determinants of Brazilian Stock Returns During the 2008 Financial Crisis

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  • Ricardo Goulart Serra
  • Roy Martelanc

Abstract

We analyze the influence of firm- and industry-level determinants on stock returns during the 2008 financial crisis, using a hierarchical linear model to analyze the returns of 135 Brazilian firms. The impact of these determinants on stock returns has not received sufficient attention in periods of severe market decline. The following determinants were significant: (1) industry-level determinants (unlevered beta, historical sales growth, and regulated tariff), and (2) firm-level determinants (size, illiquidity, and book-to-market ratio). We also identified an indirect influence of unlevered beta over book-to-market that reflects a behavior that we call the “misconfidence effect.”

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  • Ricardo Goulart Serra & Roy Martelanc, 2014. "Hierarchical Determinants of Brazilian Stock Returns During the 2008 Financial Crisis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(S5), pages 51-67, September.
    • Handle: RePEc:mes:emfitr:v:50:y:2014:i:s5:p:51-67
    DOI: 10.2753/REE1540-496X5005S504
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    Cited by:

    1. Rajesh Kumar & Sujit Sukumaran, 2019. "Determinants of Value Creation in Emerging Market Firms ¨C¨C An Empirical Examination," Review of Economics & Finance, Better Advances Press, Canada, vol. 17, pages 79-92, August.

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