Market Crashes

Kasch, Maria ; Rangel, Jose Gonzalo ; Weigand, Moritz

Document Type: Working paper
Year of publication: 2011
The title of a journal, publication series: SSRN Working Paper Series
Place of publication: Rochester, NY
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen 2009-)
Subject: 000 Generalities
Abstract: This paper studies cross-sectional determinants of stock returns and order flow around five recent episodes of market crashes in the United States during the period from 1998 to 2008. Stocks with high volatility, turnover and market beta are consistent losers during crashes and winners during recoveries. Trading activity in times of crashes is subject to flight to size. Recoveries are characterized by flights to stocks with large crash-period losses, low crash period volatility and turnover, and small stocks. Overall, the evidence suggests that cross sectional returns in crisis periods are determined by (i) stocks’ “market sensitivity” characteristics and (ii) re-allocation of resources in the market.
Additional information: Online-Ressource

Dieser Eintrag ist Teil der Universitätsbibliographie.

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