Financial versus Demand shocks in stock price returns of US non-financial firms in the crisis of 2007
AbstractIn the aftermath of the recent bank-centered financial crisis it is still unclear how much of the decline in non-financial firms' stock prices was due to liquidity shortage, and how much of this decline was due to lower expected consumer demand. The stock returns are examined over nine periods between July 31, 2007 and March 31, 2010. The near-collapse of Bear Stearns and the failure of Lehman Brothers can be both characterised as liquidity shocks that had a greater impact on financially fragile non-financial firms. It was mostly improvement in demand expectations that positively affected the performance of US non-financial firms in the first months of recovery. In the later periods, however, neither amelioration in demand expectations nor improvement of financial conditions can explain the performance of US non-financial firms.
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Bibliographic InfoPaper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number 12071.
Length: 42 pages
Date of creation: May 2012
Date of revision:
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Stock price returns; financial constraints; liquidity shortage; shock on demand expectations.;
Other versions of this item:
- Varvara Isyuk, 2013. "Financial versus demand shocks in stock price returns of U.S. non-financial firms in the crisis of 2007," Economie Internationale, CEPII research center, issue 133, pages 29-49.
- Varvara Isyuk, 2012. "Financial versus Demand shocks in stock price returns of US non-financial firms in the crisis of 2007," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00755562, HAL.
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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- Nguyen, Ha & Qian, Rong, 2013. "Demand collapse or credit crunch to firms ? evidence from the world bank's financial crisis survey in Eastern Europe," Policy Research Working Paper Series 6651, The World Bank.
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