{"id":"https://openalex.org/W1541623312","doi":"https://doi.org/10.3386/w16559","title":"Crisis \"Shock Factors\" and the Cross-Section of Global Equity Returns","display_name":"Crisis \"Shock Factors\" and the Cross-Section of Global Equity Returns","publication_year":2010,"publication_date":"2010-11-01","ids":{"openalex":"https://openalex.org/W1541623312","doi":"https://doi.org/10.3386/w16559","mag":"1541623312"},"language":"en","primary_location":{"id":"doi:10.3386/w16559","doi":"https://doi.org/10.3386/w16559","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w16559","pdf_url":"https://doi.org/10.3386/w16559","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"},"volume":null,"type":"report","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.3386/w16559","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5004082658","display_name":"Charles W. Calomiris","orcid":"https://orcid.org/0000-0003-3228-0660","observed_orcids":["https://orcid.org/0000-0003-3228-0660"]},"institutions":[{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]},{"id":"https://openalex.org/I1334329717","display_name":"World Bank","ror":"https://ror.org/00ae7jd04","country_code":"US","type":"other","lineage":["https://openalex.org/I1334329717","https://openalex.org/I55633929"]},{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Charles Calomiris","raw_affiliation_strings":["NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","Graduate School of Business Columbia University 3022 Broadway Street, Uris Hall New York, NY 10027","National Bureau of Economic Research. Inessa","The World Bank","The World Bank 1818 H Street, NW Washington, DC 20433"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","institution_ids":["https://openalex.org/I1321305853"]},{"raw_affiliation_string":"Graduate School of Business Columbia University 3022 Broadway Street, Uris Hall New York, NY 10027","institution_ids":["https://openalex.org/I78577930"]},{"raw_affiliation_string":"National Bureau of Economic Research. Inessa","institution_ids":["https://openalex.org/I1321305853"]},{"raw_affiliation_string":"The World Bank","institution_ids":["https://openalex.org/I1334329717"]},{"raw_affiliation_string":"The World Bank 1818 H Street, NW Washington, DC 20433","institution_ids":["https://openalex.org/I1334329717"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5007994702","display_name":"Inessa Love","orcid":"https://orcid.org/0000-0002-5971-6404","observed_orcids":["https://orcid.org/0000-0002-5971-6404"]},"institutions":[{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]},{"id":"https://openalex.org/I1334329717","display_name":"World Bank","ror":"https://ror.org/00ae7jd04","country_code":"US","type":"other","lineage":["https://openalex.org/I1334329717","https://openalex.org/I55633929"]},{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Inessa Love","raw_affiliation_strings":["NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","Graduate School of Business Columbia University 3022 Broadway Street, Uris Hall New York, NY 10027","National Bureau of Economic Research. Inessa","The World Bank","The World Bank 1818 H Street, NW Washington, DC 20433"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","institution_ids":["https://openalex.org/I1321305853"]},{"raw_affiliation_string":"Graduate School of Business Columbia University 3022 Broadway Street, Uris Hall New York, NY 10027","institution_ids":["https://openalex.org/I78577930"]},{"raw_affiliation_string":"National Bureau of Economic Research. Inessa","institution_ids":["https://openalex.org/I1321305853"]},{"raw_affiliation_string":"The World Bank","institution_ids":["https://openalex.org/I1334329717"]},{"raw_affiliation_string":"The World Bank 1818 H Street, NW Washington, DC 20433","institution_ids":["https://openalex.org/I1334329717"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5111210339","display_name":"Mar\u00eda Soledad Mart\u00ednez Per\u00eda","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]},{"id":"https://openalex.org/I1334329717","display_name":"World Bank","ror":"https://ror.org/00ae7jd04","country_code":"US","type":"other","lineage":["https://openalex.org/I1334329717","https://openalex.org/I55633929"]},{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Maria Soledad Martinez Peria","raw_affiliation_strings":["The World Bank","Graduate School of Business Columbia University 3022 Broadway Street, Uris Hall New York, NY 10027","NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","National Bureau of Economic Research. Inessa","The World Bank 1818 H Street, NW Washington, DC 20433"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"The World Bank","institution_ids":["https://openalex.org/I1334329717"]},{"raw_affiliation_string":"Graduate School of Business Columbia University 3022 Broadway Street, Uris Hall New York, NY 10027","institution_ids":["https://openalex.org/I78577930"]},{"raw_affiliation_string":"NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","institution_ids":["https://openalex.org/I1321305853"]},{"raw_affiliation_string":"National Bureau of Economic Research. Inessa","institution_ids":["https://openalex.org/I1321305853"]},{"raw_affiliation_string":"The World Bank 1818 H Street, NW Washington, DC 20433","institution_ids":["https://openalex.org/I1334329717"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":19,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9901999831199646,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9901999831199646,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0038999998942017555,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11711","display_name":"COVID-19 Pandemic Impacts","score":0.0015999999595806003,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/2008-financial-crisis","display_name":"2008 financial crisis","score":0.9520000219345093},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.6140000224113464},{"id":"https://openalex.org/keywords/cross-section-of-stock-returns","display_name":"cross-section of stock returns","score":0.8299999833106995},{"id":"https://openalex.org/keywords/residual-returns","display_name":"residual returns","score":0.7839999794960022},{"id":"https://openalex.org/keywords/time-varying-risk-factors","display_name":"time-varying risk factors","score":0.6759999990463257}],"concepts":[{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.6425910592079163},{"id":"https://openalex.org/C2781300812","wikidata":"https://www.wikidata.org/wiki/Q178061","display_name":"Shock (circulatory)","level":2,"score":0.5489271283149719},{"id":"https://openalex.org/C2780129039","wikidata":"https://www.wikidata.org/wiki/Q1931107","display_name":"Section (typography)","level":2,"score":0.5082506537437439},{"id":"https://openalex.org/C52234038","wikidata":"https://www.wikidata.org/wiki/Q17128025","display_name":"Cross section (physics)","level":2,"score":0.4146805703639984},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4089856445789337},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.3121684789657593},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.18239891529083252},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.13342690467834473},{"id":"https://openalex.org/C112698675","wikidata":"https://www.wikidata.org/wiki/Q37038","display_name":"Advertising","level":1,"score":0.11566022038459778},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.07897454500198364},{"id":"https://openalex.org/C126322002","wikidata":"https://www.wikidata.org/wiki/Q11180","display_name":"Internal medicine","level":1,"score":0.0447576642036438},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C71924100","wikidata":"https://www.wikidata.org/wiki/Q11190","display_name":"Medicine","level":0,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.3386/w16559","doi":"https://doi.org/10.3386/w16559","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w16559","pdf_url":"https://doi.org/10.3386/w16559","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"},{"id":"pmh:oai:RePEc:nbr:nberwo:16559","doi":null,"is_oa":false,"landing_page_url":"http://www.nber.org/papers/w16559.pdf","pdf_url":"http://www.nber.org/papers/w16559.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"mag:3126005816","doi":null,"is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1712236","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},{"id":"mag:3141352277","doi":null,"is_oa":false,"landing_page_url":"https://ideas.repec.org/p/nbr/nberwo/16559.html","pdf_url":null,"source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"National Bureau of Economic Research","raw_type":null}],"best_oa_location":{"id":"doi:10.3386/w16559","doi":"https://doi.org/10.3386/w16559","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w16559","pdf_url":"https://doi.org/10.3386/w16559","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W1541623312.pdf","grobid_xml":"https://content.openalex.org/works/W1541623312.grobid-xml"},"referenced_works_count":68,"referenced_works":["https://openalex.org/W570614407","https://openalex.org/W596944550","https://openalex.org/W1518025965","https://openalex.org/W1556400026","https://openalex.org/W1560885634","https://openalex.org/W1593905594","https://openalex.org/W1602523085","https://openalex.org/W1828540936","https://openalex.org/W1856810577","https://openalex.org/W1906173678","https://openalex.org/W1929539829","https://openalex.org/W1967872601","https://openalex.org/W2020436920","https://openalex.org/W2029239181","https://openalex.org/W2061927066","https://openalex.org/W2077138911","https://openalex.org/W2088141836","https://openalex.org/W2111906441","https://openalex.org/W2113208252","https://openalex.org/W2116277545","https://openalex.org/W2124115302","https://openalex.org/W2136456638","https://openalex.org/W2140855888","https://openalex.org/W2146188630","https://openalex.org/W2146649587","https://openalex.org/W2149088624","https://openalex.org/W2150215737","https://openalex.org/W2150661422","https://openalex.org/W2159819848","https://openalex.org/W2165791443","https://openalex.org/W2165952101","https://openalex.org/W2166215547","https://openalex.org/W2206971134","https://openalex.org/W2341795385","https://openalex.org/W2616238168","https://openalex.org/W2805908441","https://openalex.org/W2889622600","https://openalex.org/W2889866701","https://openalex.org/W3021107451","https://openalex.org/W3021500571","https://openalex.org/W3084354180","https://openalex.org/W3121238223","https://openalex.org/W3121762279","https://openalex.org/W3121786372","https://openalex.org/W3122029425","https://openalex.org/W3122288260","https://openalex.org/W3122505027","https://openalex.org/W3122580964","https://openalex.org/W3122639747","https://openalex.org/W3122655685","https://openalex.org/W3122699700","https://openalex.org/W3122821343","https://openalex.org/W3123001416","https://openalex.org/W3123443250","https://openalex.org/W3124000628","https://openalex.org/W3125000257","https://openalex.org/W3125037149","https://openalex.org/W3125140669","https://openalex.org/W3125389004","https://openalex.org/W3125654204","https://openalex.org/W3125665227","https://openalex.org/W3126016760","https://openalex.org/W3126113144","https://openalex.org/W3141053636","https://openalex.org/W4254090008","https://openalex.org/W6607757774","https://openalex.org/W6650936067","https://openalex.org/W6826603750"],"related_works":["https://openalex.org/W2260525428","https://openalex.org/W2159105199","https://openalex.org/W3121374762","https://openalex.org/W2889666266","https://openalex.org/W7095591245","https://openalex.org/W2801477137","https://openalex.org/W1991491003","https://openalex.org/W1493750654","https://openalex.org/W141573082","https://openalex.org/W1550430408"],"abstract_inverted_index":{"We":[0],"study":[1],"stock":[2],"returns":[3,62],"over":[4],"the":[5,8,25,28,34,64,81,90,94,101,107,111,116,123],"period":[6,66,83,97],"of":[7,12,24,30,36,47,84,110,113,115],"global":[9,31,124],"financial":[10],"crisis":[11,17,65],"2007-2008":[13,95],"and":[14,39,55],"identify":[15],"three":[16,46],"\"shock":[18,49],"factors\"":[19,50],"related":[20,120],"to":[21,100],"unique":[22,99],"features":[23],"crisis:":[26],"(1)":[27],"collapse":[29],"demand,":[32],"(2)":[33],"contraction":[35],"credit":[37],"supply,":[38],"(3)":[40],"selling":[41],"pressure":[42],"on":[43,59],"firms'":[44],"equity.All":[45],"these":[48],"are":[51,74,98],"reflected":[52],"in":[53,122],"large":[54],"statistically":[56],"significant":[57],"influences":[58,91],"residual":[60],"equity":[61],"during":[63,93],"(after":[67],"controlling":[68],"for":[69,80],"normal":[70],"risk":[71],"factors":[72,118],"that":[73,89,106],"associated":[75],"with":[76],"expected":[77],"returns).Similar":[78],"analysis":[79,104],"placebo":[82],"August":[85],"2005-December":[86],"2006":[87],"shows":[88,105],"identified":[92],"sample":[96],"crisis.A":[102],"month-by-month":[103],"time":[108],"variation":[109],"importance":[112],"each":[114],"shock":[117],"tracks":[119],"changes":[121],"economic":[125],"environment.":[126]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":9}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
