PT - JOURNAL ARTICLE AU - Jia Wang AU - Gulser Meric AU - Zugang Liu AU - Ilhan Meric TI - The Determinants of Stock Returns in the<br/>October 9, 2007–March 9, 2009 Bear Market AID - 10.3905/joi.2011.20.3.018 DP - 2011 Aug 31 TA - The Journal of Investing PG - 18--24 VI - 20 IP - 3 4099 - https://pm-research.com/content/20/3/18.short 4100 - https://pm-research.com/content/20/3/18.full 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