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Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets
16 references·10 citing·30 second hop
Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets (2012)Stock returns’ sensitivities to crisis sh…The real effects of financial constraints: Evidence from a financial crisis (2010)The real effects of financial…Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…Bank lending during the financial crisis of 2008 (2009)Bank lending during the finan…In Search of Distress Risk (2008)In Search of Distress RiskHigh idiosyncratic volatility and low returns: International and further U.S. evidence (2008)High idiosyncratic volatility…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Financial Constraints Risk (2006)Financial Constraints RiskThe Cash Flow Sensitivity of Cash (2004)The Cash Flow Sensitivity of …Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Evidence on the Characteristi…Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)Do Investment-Cash Flow Sensi…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Financing Constraints and Corporate Investment (1988)Financing Constraints and Cor…Financing Constraints and Corporate Investment (1987)Financing Constraints and Cor…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Economic policy uncertainty and foreign direct investment: Evidence from China (2024)Economic policy uncertainty a…Estimating contagion mechanism in global equity market with time‐zone effect (2023)Estimating contagion mechanis…Economic policy uncertainty and dividend sustainability: new insight from emerging equity market of China (2020)Economic policy uncertainty a…Why did some firms perform better in the global financial crisis? (2017)Why did some firms perform be…The Role of Equity Funds in the Financial Crisis Propagation (2016)The Role of Equity Funds in t…The Ramadan effect: Illusion or reality? (2016)The Ramadan effect: Illusion …Bear market periods during the 2007–2009 financial crisis: Direct evidence from the Visegrad countries (2015)Bear market periods during th…Direct Identification of Crisis Periods on the CEE Stock Markets: The Influence of the 2007 U.S. Subprime Crisis (2014)Direct Identification of Cris…Global Crises and Equity Market Contagion (2012)Global Crises and Equity Mark…How Important are Foreign Ownership Linkages for International Stock Returns? (2010)How Important are Foreign Own…Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Managing with Style: The Effect of Managers on Firm Policies (2003)New Evidence on Measuring Financial Constraints: Moving Beyond the KZ Index (2010)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Credit Rationing in Markets with Imperfect Information (1981)Agency costs of free cash flow, corporate finance, and takeovers (1996)The General Theory of Employment, Interest and Money. (1936)The theory and practice of corporate finance: evidence from the field (2001)Why Do U.S. Firms Hold So Much More Cash than They Used To? (2009)Corporate social responsibility and access to finance (2013)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Policy Uncertainty and Corporate Investment (2015)Demand for green finance: Resolving financing constraints on green innovation in China (2021)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1997Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints?6,790 cited
  • 1988Financing Constraints and Corporate Investment5,566 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1987Financing Constraints and Corporate Investment4,354 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 2006Financial Constraints Risk3,702 cited
  • 2004The Cash Flow Sensitivity of Cash3,523 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,326 cited
  • 2009Bank lending during the financial crisis of 20082,777 cited
  • 2010The real effects of financial constraints: Evidence from a financial crisis2,298 cited
  • 2008In Search of Distress Risk2,232 cited
  • 1997Evidence on the Characteristics of Cross Sectional Variation in Stock Returns1,665 cited
  • 2008

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High idiosyncratic volatility and low returns: International and further U.S. evidence
1,440 cited

Cited by

  • 2016The Role of Equity Funds in the Financial Crisis Propagation69 cited
  • 2010How Important are Foreign Ownership Linkages for International Stock Returns?43 cited
  • 2012Global Crises and Equity Market Contagion41 cited
  • 2016The Ramadan effect: Illusion or reality?40 cited
  • 2017Why did some firms perform better in the global financial crisis?34 cited
  • 2024Economic policy uncertainty and foreign direct investment: Evidence from China33 cited
  • 2015Bear market periods during the 2007–2009 financial crisis: Direct evidence from the Visegrad countries32 cited
  • 2020Economic policy uncertainty and dividend sustainability: new insight from emerging equity market of China27 cited
  • 2014Direct Identification of Crisis Periods on the CEE Stock Markets: The Influence of the 2007 U.S. Subprime Crisis23 cited
  • 2023Estimating contagion mechanism in global equity market with time‐zone effect23 cited