| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16559 |
| 来源ID | Working Paper 16559 |
| Crisis \"Shock Factors\" and the Cross-Section of Global Equity Returns | |
| Charles W. Calomiris; Inessa Love; Maria Soledad Martinez Peria | |
| 发表日期 | 2010-11-25 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We study stock returns over the period of the global financial crisis of 2007-2008 and identify three crisis "shock factors" related to unique features of the crisis: (1) the collapse of global demand, (2) the contraction of credit supply, and (3) selling pressure on firms' equity. All three of these "shock factors" are reflected in large and statistically significant influences on residual equity returns during the crisis period (after controlling for normal risk factors that are associated with expected returns). Similar analysis for the placebo period of August 2005-December 2006 shows that the influences identified during the 2007-2008 sample period are unique to the crisis. A month-by-month analysis shows that the time variation of the importance of each of the shock factors tracks related changes in the global economic environment. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w16559 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574234 |
| 推荐引用方式 GB/T 7714 | Charles W. Calomiris,Inessa Love,Maria Soledad Martinez Peria. Crisis \"Shock Factors\" and the Cross-Section of Global Equity Returns. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16559.pdf（351KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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