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Article
Stock Market Crashes, Firm Characteristics, and Stock Returns
Journal of Banking and Finance (2009)
  • Jia Wang, Rowan University
  • Gulser Meric, Rowan University
  • Zugang Liu
  • Ilhan Meric, Rowan University
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.
Disciplines
Publication Date
September, 2009
DOI
10.1016/j.jbankfin.2009.03.002
Citation Information
Jia Wang, Gulser Meric, Zugang Liu and Ilhan Meric. "Stock Market Crashes, Firm Characteristics, and Stock Returns" Journal of Banking and Finance Vol. 33 Iss. 9 (2009) p. 1563 - 1574
Available at: http://works.bepress.com/jia-wang/21/