RT Journal Article
SR Electronic
T1 The Determinants of Stock Returns in the<br/>October 9, 2007–March 9, 2009 Bear Market
JF The Journal of Investing
FD Institutional Investor Journals
SP 18
OP 24
DO 10.3905/joi.2011.20.3.018
VO 20
IS 3
A1 Jia Wang
A1 Gulser Meric
A1 Zugang Liu
A1 Ilhan Meric
YR 2011
UL https://pm-research.com/content/20/3/18.abstract
AB The bear market of October 9, 2007–March 9, 2009, was the worst in U.S. history since the Great Depression. During this period, U.S. stocks lost about 58% of their value in just 16 months. Because of declining real estate prices, foreclosures, and the large amount of mortgage-backed assets held by banks, the amount of bank credit available to business firms was sharply reduced, creating a serious liquidity shortage. The authors test the hypothesis that technical insolvency and bankruptcy risks were significant determinants of stock returns in the October 9, 2007–March 9, 2009 bear market. They also test several hypotheses related to the effects of beta, firm size, market-to-book ratio, and volatility on stock returns in bear markets and stock market crashes.TOPICS: Financial crises and financial market history, fixed income and structured finance, security analysis and valuation