Bachelor’s Thesis – Economics and Finance
Consumer Behaviour
The effect of the hybrid consumer on the stock
market
Author: Pauline E. Brouwer Student number: 10197737
This document is written by Student Pauline Brouwer who declares to take full responsibility for the contents of this document.
I declare that the text and the work presented in this document is original and that no sources other than those mentioned in the text and its references have been used in creating it.
The Faculty of Economics and Business is responsible solely for the supervision of completion of the work, not for the contents.
Abstract
The aim of this research is to examine the impact of the changing consumer behaviour on the stock market. The majority of recent papers indicate that middle class suffers most from the recession, while the low budget and high-class companies benefit or remain stable. The same consumer now buys in different segments: they trade down in their daily basics but trade up for products that deliver emotional satisfaction. In this research an event sample of 83 stock listed companies are divided into three groups: the budget, middle and luxury market. Using the TED spread as a parameter, the period from 2000 until 2015 was divided into three periods: before, during and after the Great Recession. The results show that within each market, the three periods are significantly different from each other. Furthermore, before the Great Recession the three markets are significantly different from each other. After the Great Recession, there is not enough evidence to conclude that the budget or luxury markets have higher returns than the middle market after the Great Recession. Finally, the results show that before the Great Recession all the three markets are underperforming the retail market index. There is enough evidence that the budget and the luxury market are outperforming the retail market index after the Great Recession and the results are significantly higher than before the Great Recession. Even though the results for the suffering middle market are significantly higher than before the Great Recession, the middle market is still underperforming the retail market index after the Great Recession.
Content
1 INTRODUCTION 5
1.1 MOTIVATION AND CONTRIBUTION 5
1.2 RESEARCH QUESTION AND HYPOTHESES 6
1.2.1 THE FIRST OBJECTIVE 7
1.2.2 THE SECOND OBJECTIVE 8
2 LITERATURE REVIEW 9
2.1 THE GREAT RECESSION 9
2.2 THE SITUATION BEFORE THE GREAT RECESSION 10
2.3 THE SITUATION AFTER THE GREAT RECESSION 11
2.4 DIFFERENCES BETWEEN THE LUXURY, MIDDLE AND BUDGET INDUSTRY 13
2.4.1 THE DEFINITION OF LUXURY 13
2.5 EFFECTS ON THE STOCK MARKET 13
2.5.1 FACTORS CONTRIBUTING TO STOCK PRICE MOVEMENTS 13
2.5.2 CROSS-PREDICTION OF STOCK PRICES 14
2.5.3 TRENDS AND STOCK PRICE MOVEMENTS 14
3 METHOD 14 3.1 PORTFOLIOS 15 3.2 EVENT SAMPLE 15 3.3 THE TED SPREAD 16 3.1 SHARPE RATIO 17 3.2 JENSEN’S ALPHA 18 3.3 RETURNS 19 3.3.1 DAILY RETURNS 19 3.3.2 RISK-FREE RATE 19 3.3.3 MARKET INDEX 19 4 DATA 20 4.1 STOCK DATA 20 4.2 SHARPE RATIO 22 4.3 JENSEN’S ALPHA 23
4.4 TWO-SAMPLE T-TEST WITH UNEQUAL VARIANCES 24
4.4.1 TABLE 6. TWO-SAMPLE T-TEST WITH UNEQUAL VARIANCES FOR SHARPE RATIO 26 4.4.2 TABLE 7. TWO-SAMPLE T-TEST WITH UNEQUAL VARIANCES FOR SCHOLZ’ SHARPE RATIO 27 4.4.3 TABLE 8. TWO-SAMPLE T-TEST WITH UNEQUAL VARIANCES FOR JENSEN’S ALPHA 28
5 RESULTS 29 5.1 THE FIRST OBJECTIVE 29 5.2 THE SECOND OBJECTIVE 31 6 CONCLUSION 33 6.1 DISCUSSION 35 REFERENCES 36
1 Introduction
The aim of this thesis is to examine the impact of the changing consumer behaviour on the stock market. The attention of many scholars and investors is attracted by the impact the recession has on the retail sector. The majority of recent papers indicate that middle class suffers most from the recession, while the budget and luxury sectors benefit or remain stable. A conditional pattern of hybrid consumption was identified after the crisis. This new behaviour relates trading up to high-involvement, discretional spending and trading down to low-involvement necessities (Ehrnrooth and Gronroos, 2013).Motivation and contribution
The Great Recession is seen as being transformative, mostly because it is the longest post-war recession and the connected labour-market disruptions have been extremely violent and this situation will continue in the near future. The Great Recession has totally disrupted the economic landscape. Furthermore the recession has also affected marriage and divorce rates, social and political attitudes, lifestyles and consumption behaviour and much more (Grusky, Western & Wimer, 2011). As consumption decisions are stated as crucial determinants of business cycles and growth by Grusky, Western and Wimer, this affected consumption behaviour is what this research aims to investigate further.
Ehrnrooth and Gronroos (2013) state that hybrid consumers are already recognized as an
important change, but that behaviour is still largely under-researched. The hybrid consumer buys cheap, low-end generics at discount stores at one occasion. On another he will trade up to
premium, high-end brands and is happy to pay a premium. He does not behave according to any pre-specified consumer segment criteria and buys products and services designed for multiple target groups. Ehrnrooth and Gronroos are questioning the following dilemma. “If the same consumer buys, for instance, groceries at a discount store and accessories at Chanel, or flies with a budget airline yet stays at an upscale hotel, how can and how should this be taken into account in the marketing process? What drives this type of consumer behaviour? How big a trend are we talking about?” According to Piercy, Cravens and Lane (2010), there is an urgent need to realign marketing strategies with a “new normal”. Where Ehrnrooth and Gronroos are trying to analyse the possible drivers of hybrid consumption by identifying typical categories and situations of trading up versus trading down, this research aims to focus on how impactful this trend really is.
Specifically, I want to investigate the stock market and where this changing consumer behaviour has had a significant effect on the share price levels of stock listed companies.
1.1 Research question and hypotheses
As stated before, the aim of this thesis is to examine the impact of the changing consumer behaviour on the stock market and investigate whether there is any significant difference
between before, during and after the Great Recession. Because of the vanishing middle market, I also want to investigate if the budget or luxury industry is outperforming the general retail index after the crisis.
Research Question:
What is the impact of the changing consumer behaviour on the stock market: What are the differences between the luxury, middle and budget market; are they outperforming the general market index and is there a significant difference after the Great Recession, using stock data ranging from 2000 until 2015.
This research question comes down to the narrowed objectives:
1. Is there a significant difference between before and after the Great Recession on the stock returns in the budget, middle and luxury market?
2. Is the budget or the middle or the luxury market outperforming the general retail market index?
When investigating whether there is a significant difference between stock prices, average daily returns could be compared. With average daily returns, risk could be the cause of the higher returns, because higher risk means higher expected returns. However, associated risk is not taken into account when calculating average returns. Therefore, the different portfolios in this research will be compared on the basis of the following risk-adjusted performance standards: the Sharpe ratio and Jensen’s alpha. The Sharpe ratio however, does not take the effect of diversification into account, where Jensen’s alpha compares stocks or portfolios based on the market risk that they take and it tells us by how much one out- or underperforms the market.
1.1.1 The first objective
The first objective comes down to differences on the stock returns in the budget, middle and luxury market. The hybrid consumer that has arisen since the Great Recession buys cheap, low-end generics at discount stores at one occasion and the other occasion it trades up to premium, high-end brands and happily pays for it. Furthermore it leaves the middle market without any contribution. Therefore, the stock returns in de budget and luxury market are expected to be higher after the Great Recession and in the middle market to be lower.
As discussed as before, the higher risk of a portfolio could be the cause of higher returns. Therefore, in the first objective the three different periods will be compared for the three different markets on the basis of the Sharpe ratio.
Hypothesis 1 (0) There is no significant difference in the Sharpe ratio before and after the Great Recession in the budget market.
Hypothesis 1 (1) The Sharpe ratio is significantly higher after the Great Recession in the budget market.
Hypothesis 2 (0) There is no significant difference in the Sharpe ratio before and after the Great Recession in the middle market.
Hypothesis 2 (1) The Sharpe ratio is significantly lower after the Great Recession in the middle market.
Hypothesis 3 (0) There is no significant difference in the Sharpe ratio before and after the Great Recession in the luxury market.
Hypothesis 3 (1) The Sharpe ratio is significantly higher after the Great Recession in the luxury market.
Secondly, the different markets will be compared in each period. Before the Great Recession the Sharpe ratio of the luxury market is expected to be significantly lower than the Sharpe ratio of the middle market and the Sharpe ratio of the middle market to be significantly lower than the Sharpe ratio of the budget market. Because of the vanishing middle market and the growing budget and luxury market, Sharpe ratios of the budget and luxury market are expected to be the same and significantly higher than the Sharpe ratio of the middle market.
Hypothesis 4 (0) There is no significant difference of Sharpe ratios between the Budget, Middle or Luxury Market before the Great Recession.
Hypothesis 4 (1) There is significant difference of Sharpe ratios between the Budget, Middle or Luxury Market before the Great Recession.
Hypothesis 5 (0) There is no significant difference between the Sharpe ratios of the Budget, Middle or Luxury Market after the Great Recession.
Hypothesis 5 (1) There is a significant difference between the Sharpe ratios of the Budget, Middle or Luxury Market after the Great Recession.
1.1.2 The second objective
The second objective comes down to whether the markets are outperforming the general retail market index or not. This can be measured by Jensen’s alpha. A positive alpha means that a portfolio is outperforming the market, while a negative alpha means the portfolio is
underperforming the market. The formula of Jensen’s measure is represented by the formula: ( ) .
Because of the vanishing middle market and the upcoming budget and luxury market, Jensen’s alpha is expected to be higher than zero for the budget and luxury market and lower than zero for the middle market after the Great Recession.
Hypothesis 6 (0) The budget market is not outperforming the general retail market index after the Great Recession in terms of Jensen’s alpha.
Hypothesis 6 (1) The budget market is outperforming the general retail market index after the Great Recession in terms of Jensen’s alpha.
Hypothesis 7 (0) The middle market is not outperforming the general retail market index after the Great Recession in terms of Jensen’s alpha.
Hypothesis 7 (1) The budget market is underperforming the general retail market index after the Great Recession in terms of Jensen’s alpha.
Hypothesis 8 (0) The luxury market is not outperforming the general retail market index after the Great Recession in terms of Jensen’s alpha.
Hypothesis 8 (1) The luxury market is outperforming the general retail market index after the Great Recession in terms of Jensen’s alpha.
2 Literature Review
In this chapter multiple academic articles concerning the changing consumer behaviour will be discussed. First of all a general part about Great Recession. This is followed by multiple articles explaining consumer behaviour before and after the Great Recession. In the end the effects on the stock market will be discussed.
2.1 The Great Recession
The Great Recession is seen as being the most devastating global economic crisis since the Great Depression during the 1930’s. This is mainly due to the fact that it is the longest post-war
recession, but even more due to its extremely violent disruptions to the labor-market. Besides the fact that the Great Recession has totally disrupted the economic landscape, the recession has also affected marriage and divorce rates, social and political attitudes, lifestyles and consumption behaviour and much more (Grusky, Western and Wimer, 2011).
The National Bureau of Economic Research announced on December 1, 2007 that the US economy had entered into a recession. The credit crisis resulting from the bursting housing bubble is seen as the main cause for this recession (Holt, 2009). It began in the summer of 2007 when information about the asset-backed commercial paper market became surfaced and the value and liquidity of many mortgage-backed securities appeared to be uncertain (Cornett, McNutt, Strahan & Tehranian, 2011). Originated from the dominant US market, the crisis had a sharp and immediate spill over effect into other global markets. The interdependence between international stock markets increased during the crisis.
The TED spread serves as the primary indicator for stock markets in fear and furthermore adjusts rapidly to new information about stock markets (Cheung, Fung & Tsai, 2010). The rising crisis is illustrated by the TED spread which rose above 200 basis points in August 2007 and stayed
very volatile. The TED spread is seen as an indicator of perceived credit risk in the general economy, because Treasury bills are risk-free and LIBOR is the credit risk of interbank lending to commercial banks (Cornett, McNutt, Strahan & Tehranian, 2011). An increase in the TED spread means a decrease in the confidence of investors. Investors believe the risk of default on interbank loans is increasing. With their empirical analysis Cornett, McNutt, Strahan and Tehranian indicate July 2007 as the beginning of the crisis period. The TED spread of the full sample period under investigation in this research is shown In Figure 1.
Figure 1. TED Spread 2000 - 2015
2.2 The situation before the Great Recession
In most developed economies, consumer behaviour before the recession was based on more than 15 years of uninterrupted wealth. Despite some occasional slowdowns, growth was an almost permanent aspect and was accompanied by low and stable levels of price inflation. Asset values and incomes grew more rapidly than inflation and from 1995 to 2005, real disposable incomes increased by a third in the US and the UK. Consumers felt the effects directly, new appetites emerged and markets sprang up to serve them. Consumers could afford to be curious about gadgets and technology, spend more money on enriching or fun experiences and they indulged themselves with premium products (Flatters & Willmott, 2009). During this period the US entertainment industry was the largest exporting industry of the US.
-100 0 100 200 300 400 500
TED Spread
TED SpreadBefore the Great Recession, retailers could predict consumer behaviour based on age, gender, income level and education level quite precisely. They could work out their social and financial status by the type of products they bought, namely budget, mid-market or luxury (Rabobank, 2014). Consumption was about fulfilling basic needs, which depended on social relations, identities, perceptions and images. These different identities could be identified by a person’s consumption pattern. Consumers made decisions by asking themselves questions like, “Do I buy this product or not? or don’t I buy this product? Is it reasonable to buy this product?” (Gabriel & Lang, 2006).
In addition luxury products and experiences yielded high margins and strong growth was the norm before the Great Recession. Wealthy consumers used luxury products as an irreplaceable source of self-indulgence and a reputation boost. These consumers thought mostly superficial about luxury goods and brand image was often more important than quality (BCG, 2010).
2.3 The situation after the Great Recession
According to a report from Rabobank (2014) a new kind of consumer has arisen since the economic crisis, namely the ‘hybrid consumer’. This hybrid consumer shows a different consumption pattern, which does not fit with traditional segmentation models anymore.
Consumers will buy cheap generics and low-end brands at discount stores on one occasion. On another occasions they trade up to premium, high-end brands and happily pay for it. When consumers are buying a product, they decide by asking themselves questions like, “Am I finding meaning in this? Is it enjoyable? Does it construct, or allow me to construct a life experience that I would like to experience again?” (Ehrnrooth and Gronroos, 2013). Consumers are becoming less interested in mid-market products and are trading down when it comes to everyday value-for-money items, such as basic groceries. They save money by buying basics at the discount stores, so they can trade-up in premium high-end products that matter most from an emotional and social perspective, such as premium brands in supermarkets and fine dining or the latest mobile device. The middle market cannot deliver value anymore and consumer demand is
moving into the extremes of the market. Hybrid consumers are eager for value for money in their daily groceries, but they also like to let themselves be seduced to spend more money on products with a greater emotional or social charge. The economic crisis has enhanced this hybrid
prices while maintaining the same level of quality. However, consumers do not renounce all luxury. If it occurs less frequently he will choose for excellence when considering items of indulgence. In contrast with a decade ago it is now socially accepted that consumers from all walks of life shop at the Aldi or the Lidl (Rabobank, 2014). People are no longer negatively stereotyped as “penny-pinchers” or greedy for shopping at discount stores. They are actually more often proud of being smart shoppers (Leppanen & Gronroos, 2009).
The luxury goods industry has recovered faster off the Great Recession than most people
expected. Where most companies remained careful about their growth perspective, major brands reported strong gains in revenue and profits. The luxury market did not show signs of a difficult market. Besides the luxury industry, the budget industry also showed strong gains. Already before the crisis, the availability of information made it easier to learn about products and compare them, so people became more aware. The crisis exaggerated this awareness. People became less interested in acquiring status by buying luxury products and more interested in the actual worth of products. First of all, the crisis damaged the foundation of their financial security and they became more aware of the value of money. Secondly, they did not want to continue spending a lot of money when so many people were having financial problems. These changes enhanced the growing appreciation for experience-based luxury. Consumers want to spend their money on something genuine and meaningful. They became more willing to pay for services or experiences that genuinely make them happy. The Great Recession also started several new trends like he introduction of several new trends like the intense changes in consumer behaviour and the competitive landscape. In this new world, consumers need better reasons to buy a luxury product than just accept high prices for the brand they are buying (BCG, 2010).
What is especially interesting about these developments is that they can be interrelated. The high-end and the low-end could actually support each other. Because there are more and better alternatives for low-budget goods, consumers have more options of saving money by choosing low-cost brands and are able to spend their saved money on other products and services. (Ehrnrooth and Gronroos, 2013).
2.4 Differences between the luxury, middle and budget industry
2.4.1 The definition of luxury
According to BCG (2010), true luxury contains rarity, quality and refinement. These attributes apply to the two traditional categories of luxury, namely products and experiences. Luxury products and experiences vary from alcohol and food to travel, hotels, technology and cars, characterised by their exclusivity. Another characteristic of luxury products is its superiority to the ordinary. A mystique arises about the extended craftsmanship, service and image of a luxury product that contributes to your business status.
For many people luxury is often achieved by purchasing a particular, special item instead of buying multiple goods together. They desire goods, experiences and treats that would normally not be included in one’s daily consumption. According to Yeoman and McMahon-Beattie (2010) there has been significant numbers across all ages and social grades of consumers who agree that they would rather have one good thing than a lot of cheap things (Yeoman, 2011).
2.5 Effects on the stock market
2.5.1 Factors contributing to stock price movements
Financial asset prices arise from a statistically complex and nonlinear process (Olsen, 1998). There are many factors that contribute to the movement of stock prices. Chan, Karceski and Lakonishok (1998) focus on five sets of empirical factors. The sets are based on accounting characteristics (fundamental factors), past return (technical factors), macroeconomic variants (macroeconomic factors), factors extracted via principal component analysis (statistical factors) and the return on a market index (the market factor). This research aims to discover the impact of the changing consumer behaviour on the stock market. Consumers and the traditional market segmentation are changing and this changing consumer behaviour could have a significant effect on the stock market.
2.5.2 Cross-prediction of stock prices
Menzly and Ozbas (2010) found evidence supporting that value-relevant information is spread in financial markets step by step, due to investor specialization and market segmentation. They used the stock market as their setting en found that stocks in related supplier and customer industries cross-predict each other’s returns. They show that investor specialization and the resulting informational segmentation of markets has significant effects on stock prices, as well as gradually spreading information from economically related industries. Since this research is investigating three different sectors (luxury, middle and budget) in related industries, stock prices of the different sectors are expected to predict stock prices in other sectors.
2.5.3 Trends and stock price movements
Furthermore, Boswijk, Hommes and Manzan (2007) argue an evolutionary selection mechanism ruling the dynamics of the fractions and switching of agents between different beliefs or
forecasting strategies. A strategy attracts more agents if it performed relatively well in the past few years compared to other strategies. They emphasize the rise of the trend following regime in the late 90’s. The findings of Chen, Da and Zhao (2013) highlight the importance of cash flows in asset pricing. A significant portion of stock price movement can occur because investors revise their expectations of future cash flows when evaluating stocks, but stock prices can also move unexpectedly because investors update their expectations of future cash flows or discount rates.
The changing consumer behaviour can be considered a new trend rising since 2008, making investors update their expectations of future cash flows and switch from investing in middle markets to luxury and mainly budget markets.
3 Method
To investigate the research hypotheses, a large sample of companies have to be collected. These companies should be stock listed several years before the Great Recession began, preferably since 2000. The companies have to be divided into one of the three markets, namely the budget, middle or luxury market.
3.1 Portfolios
The budget, middle and luxury market are the three market portfolios in this research. A distinction is made between three periods within each market, namely before the Great Recession, during the Great Recession and after the Great Recession.
3.2 Event Sample
The same consumer now buys a cheap airline ticket to stay in a luxury hotel during holidays and buys basic clothes and groceries at discount stores so he can buy shoes or coats at upscale stores like Dior or Burberry. In other words, the same consumer is trading up in sectors differently from the sectors where he is trading down (Ehrnrooth & Gronroos, 2013). Ehrnrooth and
Gronroos discuss in their study that in general the hybrid consumer trades up in the same sectors and trades down in the same sectors. They identified these sectors and categorised them into the categories as shown in Figure 2. The left side shows the sectors where the hybrid consumer trades up and the right side shows the sectors where the hybrid consumer trades down. This research shaped these sectors into the following categories: Airlines, Automobiles, Clothing & Accessories, Food Retail, Footwear, Hotels and General Retail. Within these categories, all the relevant stock listed companies are collected from different stock exchange markets.
3.3 The TED spread
Although the National Bureau of Economic Research announced on December 1, 2007 that the US economy had entered into a recession, the TED spread serves as the primary indicator for stock markets in fear (Cheung, Fung & Tsai, 2010). Since this research is investigating the effects upon the stock market, the TED Spread will be used as an indicator when defining the three periods before, during and after the Great Recession. The TED spread is defined as the difference between interest rates on three-month US Treasury bill futures and interest rates on three-month interbank loans measured by the Interbank Offered Rate, LIBOR (Cornett, McNutt, Strahan & Tehranian, 2011). The TED spread is indicated by Holt (2009) as a good indicator of the perceived credit risk in the economy. The TED spread normally ranges between 20 and 50 basis points. In August 2007 the TED spread increased above 100 basis points and mainly stayed between 100 and 200 basis points until September 2008. Then it sharply increased further, until it reached a record level of more than 450 basis points in October 2008. In June 2009, the TED spread finally fell back down to 50 basis points (Holt, 2009 and Cornett, McNutt, Strahan & Tehranian, 2011). In Table 1 the TED spread is plotted from January 2007 until December 2009, using the following formula:
month rate month ill interest rate The three-month LIBOR rates and the three-month T-bill interest rates are retrieved from Thomson Reuters Datastream.
Figure 3. TED spread 2007 – 2009. 0 100 200 300 400 500
TED Spread
TED SpreadThe period from January 1st 2000 until December 2015 in this research can be divided into three periods:
1. Before the Great Recession: 01/01/2000 – 31/07/2007 2. During the Great Recession: 01/08/2007 – 31/06/2009 3. After the Great Recession: 01/07/2009 – 31/12/2015
The beginning of the Great Recession is estimated at August 2007, because the TED spread increased this month above 100 basis points for the first time. During June 2009 the TED spread finally fell back down to 50 basis point, therefore June 2009 is indicated as the last month of the Great Recession.
During the Great Recession stock prices, risk free rates and market indices were highly volatile. The period during the Great Recession should be taken apart when comparing the periods before and after the Great Recession in order to get less biased outcomes.
3.1 Sharpe ratio
Comparing Sharpe ratios is often used for analysing the risk-adjusted financial performance of investment strategies, such as stocks, portfolios and funds. Sharpe ratios are estimated from historical return data. Comparing different Sharpe ratios has to be based on statistical inference, such as hypothesis tests or confidence intervals (Ledoit & Wolf, 2008). In general, the fund with the higher Sharpe ratio is seen as the better performing fund. However, the Sharpe ratio is
questioned to be a good measure, especially in periods with average negative market excess returns. If the mean excess return is nonnegative, the original Sharpe ratio should be used. For negative mean excess returns, the mean fund excess return should be multiplied by the standard deviation instead of dividing (Scholz, 2007).
The first measure of investment performance that is used to compare the different periods and markets is the Sharpe ratio. The formula for calculating the Sharpe ratio is:
Where
= expected return
= risk-free rate
For each period within each portfolio (budget, middle and luxury) the Sharpe ratio will be calculated. This adds up to twelve Sharpe ratios.
According to Scholz (2007) negative excess returns should be multiplied by the standard deviation instead of dividing. Therefore, another twelve Sharpe ratios will be calculated using Scholz’ theory. The negative excess returns will be multiplied by the standard deviation of the portfolio. The formula for calculating this adjusted Sharpe ratio is:
( )
3.2 Jensen’s alpha
Jensen (1967) derived a risk-adjusted measure of portfolio performance that estimated how much a manager’s forecasting ability contributes to the fund’s returns. This measure tells us by how much a return is above or below the market return. A positive alpha means that a portfolio is outperforming the market, while a negative alpha means the portfolio is underperforming the market. A negative alpha combined with a beta greater than one means poorer performance than the market but also more risk of the portfolio. Jensen’s measure is represented by the following formula:
( ) Where
= expected stock return = risk-free rate
= return of the market
= Jensen’s alpha of the stock return = beta of market portfolio
Within an event window beta can be found by the following formula:
This comes down to three different betas within each portfolio, namely a beta for the periods before, during and after the Great Recession.
Furthermore, Jensen’s measure can be derived to calculate Jensen’s alpha for each expected stock return:
3.3 Returns
Within these formulas, different returns are needed. First of all, for every company in this research the daily returns have to be collected. Furthermore, the risk-free rate has to be defined and finally a market return index is needed.
3.3.1 Daily Returns
For all the companies in the event sample the share prices were collected on a daily basis from the 1st of January 2000 until the 31st of December 2015. This data was retrieved from Thomson Reuters Datastream. In order to compare the different portfolios it is necessary to calculate daily returns from the share price. This can be done by the following formula:
Where
= share price at time t
= share price at time t-1
3.3.2 Risk-free rate
For calculating the risk-free rates, three-month US Treasury bills were used. Daily returns were retrieved from Thomson Reuters Datastream.
3.3.3 Market index
For the calculation of Jensen’s alpha the market return is needed. Since the event sample covers a wide range of different segments within the retail market, standard markets like the S&P 500 might be biased. The segments that are investigated in this research as discussed before provide
only a small contribution to the S&P 500. Therefore, the retail market index as described on the official website of K.R. French is chosen as the market index estimator for this research. There are two kinds of indices, an average equal weighted index and an average value weighted index. Since this research weights each company equally in its portfolio, regardless of its size or value, an average equal weighted index is chosen.
4 Data
As mentioned before, a large sample of companies that are stock listed several years before the great recession began had to be collected. In addition, they must belong to one of the following categories: Airlines, Automobiles, Clothing & Accessories, Food Retail, Footwear, Hotels and General Retail. This research uses NYSE, NASDAQ, LSE, FRA and Euronext as the stock exchange markets. Appendix 1 gives a full overview of the event sample composition in alphabetic order. Companies that appeared on the stock exchange after 2006 and outliers were removed.
4.1 Stock Data
Table 1. gives an overview of the statistics of all portfolios. First of all the daily returns of the three markets in this research: the budget, middle and luxury market. Secondly, the risk-free rate for which three-month U.S. Treasury Bills are used. And finally the Market Index, for which the Fama and French Retail Market Index is used. Besides the mean of each portfolio, Table 1 shows the standard errors that are needed for calculating the Sharpe ratio. The standard error is the standard deviation of the portfolio sample mean.
Table 1. Descriptive statistics of all portfolios
Budget Market n Mean Std. Err. Min Max
Before Great Recession 1,976 0.0516 1.0633 -6.7939 4.9058 During Great Recession 500 -0.0130 2.3335 -7.3127 8.6391 After Great Recession 1,697 0.0675 1.0294 -5.2815 4.2138 Total Period 4,173 0.0504 1.2720 -7.3127 8.6391
Middle Market n Mean Std. Err. Min Max
Before Great Recession 1,976 0.0742 0.9498 -8.3469 4.8546 During Great Recession 500 -0.0233 2.1611 -7.5707 8.2316 After Great Recession 1,697 0.0437 0.9935 -6.4502 5.1178 Total Period 4,173 0.0501 1.1781 -8.3469 8.2316
Luxury Market n Mean Std. Err. Min Max
Before Great Recession 1,976 0.0751 0.7516 -4.2872 3.9800 During Great Recession 500 -0.1132 1.4915 -5.8235 8.3429 After Great Recession 1,697 0.0721 0.8844 -6.0883 4.9321 Total Period 4,173 0.0513 0.9247 -6.0883 8.3429
Three-month U.S. Treasury bills n Mean Std. Err. Min Max
Before Great Recession 1,976 3.1490 1.7526 0.8000 6.2400 During Great Recession 500 1.5650 1.3659 0.0000 4.8100 After Great Recession 1,697 0.0732 0.0530 -0.0200 0.2900 Total Period 4,173 1.7084 1.9369 -0.0200 6.2400
Fama French Retail Market Index n Mean Std. Err. Min Max
Before Great Recession 1,903 0.0730 1.0872 -6.9900 6.2300 During Great Recession 483 -0.0090 2.6204 -9.9200 8.9000 After Great Recession 1,638 0.0625 1.2327 -8.0800 5.7900 Total Period 4,024 0.0589 1.4144 -9.9200 8.9000
4.2 Sharpe Ratio
Table 2 gives an overview of the Sharpe ratios of the different periods within each market. The Sharpe ratio is calculated for each date with the formula: .
Table 2. Descriptive statistics of the Sharpe ratio
Budget Market n Mean Std. Err. Min Max
Before Great Recession 1976 -2.9128 1.9094 -9.8328 3.1929 During Great Recession 500 -0.6762 1.1819 -4.1010 3.5993 After Great Recession 1697 -0.0055 1.0004 -5.1793 3.9381
Middle Market n Mean Std. Err. Min Max
Before Great Recession 1976 -3.2373 2.1062 -11.4626 3.5773 During Great Recession 500 -0.7350 1.2109 -3.6050 3.7489 After Great Recession 1697 -0.0297 0.9994 -6.5425 4.9901
Luxury Market n Mean Std. Err. Min Max
Before Great Recession 1976 -4.0900 2.5538 -10.4336 3.2200 During Great Recession 500 -1.1252 1.3118 -4.0798 5.3792 After Great Recession 1697 -0.0012 0.9994 -6.9409 5.3961
Table 3 gives an overview of Scholz’ Sharpe ratios that are calculated with the formula: ( ) .
Table 3. Descriptive statistics of Sholz’ Sharpe ratio
Budget Market n Mean Std. Err. Min Max
Before Great Recession 1976 -3.2936 2.1590 -11.1180 3.6102 During Great Recession 500 -3.6823 6.4358 -22.3315 19.5996 After Great Recession 1697 -0.0058 1.0601 -5.4882 4.1729
Middle Market n Mean Std. Err. Min Max
Before Great Recession 1976 -2.9203 1.8999 -10.3400 3.2270 During Great Recession 500 -3.4326 5.6553 -16.8366 17.5085 After Great Recession 1697 -0.0293 0.9182 -6.4581 4.9257
Luxury Market n Mean Std. Err. Min Max
Before Great Recession 1976 -2.3102 1.4425 -5.8934 1.8188 During Great Recession 500 -2.5030 2.9182 -9.0754 11.9659
4.3 Jensen’s alpha
Jensen's alpha is used tomeasurethe risk-adjusted performance of the three portfolios in relation to the expected retail market return. The higher thealpha, the more a portfolio has earned above the predicted level.
Jensen’s measure is represented by the following formula: ( ) . The beta can be derived with the formula:
.
Table 4 shows the beta for each period within each market. Jensen’s alpha can be derived using the betas for the different periods in each market. Table 5 shows the descriptive statistics for Jensen’s alpha.
Table 4. Jensen’s measure
Budget Market n Mean Beta
Before Great Recession 1976 0.0516 0.6891 During Great Recession 500 -0.0130 0.7576 After Great Recession 1697 0.0675 0.6386 Total Period 4173 0.0504 0.7017
Middle Market n Mean Beta
Before Great Recession 1976 0.0742 0.7673 During Great Recession 500 -0.0233 0.8004 After Great Recession 1697 0.0437 0.7406 Total Period 4173 0.0501 0.7728
Luxury Market n Mean Beta
Before Great Recession 1976 0.0751 0.3550 During Great Recession 500 -0.1132 -0.0230 After Great Recession 1697 0.0721 0.5152 Total Period 4173 0.0513 0.2497
Table 5. Descriptive statistics of Jensen’s alpha
Budget Market n Mean Std. Err. Min Max
Before Great Recession 1976 -0.9758 0.9084 -5.92225 3.230525 During Great Recession 500 -0.3857 1.3175 -4.91908 4.139641 After Great Recession 1697 0.0025 0.6799 -2.89025 2.818135
Middle Market n Mean Std. Err. Min Max
Before Great Recession 1976 -0.6956 0.6054 -3.52222 2.014349 During Great Recession 500 -0.3287 0.6965 -2.54786 1.549491 After Great Recession 1697 -0.0200 0.4277 -2.0324 2.10714
Luxury Market n Mean Std. Err. Min Max
Before Great Recession 1976 -2.3051 1.4718 -6.26764 2.984403 During Great Recession 500 -1.7143 1.9789 -6.15928 8.135421 After Great Recession 1697 0.0055 0.6269 -2.97717 3.005246
4.4 Two-sample T-test with unequal variances
The Sharpe ratios and Jensen’s alpha are calculated as stated above and with these data, a t-test is performed for each measure using Stata. This research concerns samples and each period within each market has a different duration and a different variance. Therefore, an unpaired, unequal Welch t-test is used.
For the first three hypotheses a one-sided test is used, because the Sharpe ratio is expected to be higher after the Great Recession for the budget and luxury market and to be lower for the middle market.
For hypotheses four and five a one-sided test is used as well, because before the Great Recession the Sharpe ratio of the luxury market is expected to be lower than the Sharpe ratio of the middle market and the Sharpe ratio of the middle market to be lower than the Sharpe ratio of the budget market. After the Great Recession the Sharpe ratios of the budget and luxury market are
expected to be the same but significantly higher than the Sharpe ratio of the middle market.
Hypotheses six to eight expect Jensen’s alpha to be higher after the Great Recession for the budget and luxury market and to be lower for the middle market, therefore a one-sided test is
This means that for all hypotheses the critical value for the performed one-sided t-test is 1.96.
Table 6, Table 7 and Table 8 show the test statistics for the Sharpe ratio, Scholz’ Sharpe ratio and Jensen’s alpha.
4.4.1 Table 6. Two-sample T-test with unequal variances for Sharpe ratio
Sharpe ratio
Budget Market Middle Market Luxury Market
t-two side p-one side t-two side p-one side t-two side p-one side
Period before = Period during Great Recession -32.84 *** 0.000 -34.78 *** 0.000 -36.11 *** 0.000 Period before = Period after Great Recession -58.92 *** 0.000 -60.26 *** 0.000 -65.56 *** 0.000 Period during = Period after Great Recession -11.53 *** 0.000 -11.89 *** 0.000 -17.70 *** 0.000 * p < .10 ** p < .05 *** p < .01 Sharpe ratio
Before Great Recession During Great Recession After Great Recession
t-two side p-two side t-two side p-one side t-two side p-one side Budget Market = Middle Market 5.07 *** 0.000 0.78 0.219 0.70 0.241 Budget Market = Luxury Market 16.41 *** 0.000 5.69 *** 0.000 -0.12 0.451 Middle Market = Luxury Market 11.45 *** 0.000 4.89 *** 0.000 -0.83 0.204 * p < .10 ** p < .05 *** p < .01
4.4.2 Table 7. Two-sample T-test with unequal variances for Scholz’ Sharpe ratio
Scholz' Sharpe ratio
Budget Market Middle Market Luxury Market
t-two side p-one side t-two side p-one side t-two side p-one side
Period before = Period during Great Recession 1.33 0.092 2.00 ** 0.023 1.43 * 0.076 Period before = Period after Great Recession -59.82 *** 0.000 -59.01 *** 0.000 -61.43 *** 0.000 Period during = Period after Great Recession -12.72 *** 0.000 -13.40 *** 0.000 -18.97 *** 0.000 * p < .10
** p < .05
*** p < .01
Scholz' Sharpe ratio
Before Great Recession During Great Recession After Great Recession
t-two side p-one side t-two side p-one side t-two side p-one side
Budget Market = Middle Market -5.77 *** 0.000 -0.65 0.257 0.67 0.252 Budget Market = Luxury Market -16.83 *** 0.000 -3.73 *** 0.000 -0.15 0.440 Middle Market = Luxury Market -11.37 *** 0.000 -3.27 *** 0.001 -0.93 0.177 * p < .10
** p < .05 *** p < .01
4.4.3 Table 8. Two-sample T-test with unequal variances for Jensen’s alpha
Jensen's alpha
Budget Market Middle Market Luxury Market
t-two side p-one side t-two side p-one side t-two side p-one side
Period before = Period during Great Recession -9.46 *** 0.000 -10.79 *** 0.000 -6.25 *** 0.000 Period before = Period after Great Recession -37.24 *** 0.000 -39.45 *** 0.000 -63.41 *** 0.000 Period during = Period after Great Recession -6.34 *** 0.000 -9.40 *** 0.000 -19.15 *** 0.000 * p < .10
** p < .05
*** p < .01
Jensen's alpha
Before Great Recession During Great Recession After Great Recession
t-two side p-one side t-two side p-one side t-two side p-one side Budget Market = Middle Market -11.41 *** 0.000 -0.85 0.196 1.16 0.124 Budget Market = Luxury Market 34.16 *** 0.000 12.50 *** 0.000 -0.13 0.447 Middle Market = Luxury Market 44.96 *** 0.000 14.77 *** 0.000 -1.38 * 0.008 * p < .10
** p < .05
*** p < .01
5 Results
This chapter will discuss the outcomes of the Sharpe ratio and Jensen’s alpha. In the first objective the Sharpe ratio is discussed and whether there is a significant difference between the different periods for each market and whether there is a significant difference between the markets. In the second objective Jensen’s alpha is discussed and if the markets are under- or outperforming the general market index in each period.
5.1 The first objective
The first objective comes down to differences in the Sharpe Ratio. The first group of hypotheses were formulated to answer the first objective of the research question: “Is there a significant difference before and after the Great Recession on the stock returns in the budget, middle and luxury market?” The hypotheses around this objective were:
Hypothesis 1 (0) There is no significant difference in the Sharpe ratio before and after the Great Recession in the budget market.
Hypothesis 1 (1) The Sharpe ratio is significantly higher after the Great Recession in the budget market.
Hypothesis 2 (0) There is no significant difference in the Sharpe ratio before and after the Great Recession in the middle market.
Hypothesis 2 (1) The Sharpe ratio is significantly lower after the Great Recession in the middle market.
Hypothesis 3 (0) There is no significant difference in the Sharpe ratio before and after the Great Recession in the luxury market.
Hypothesis 3 (1) The Sharpe ratio is significantly higher after the Great Recession in the luxury market.
Hypothesis 4 (0) There is no significant difference of Sharpe ratios between the Budget, Middle or Luxury Market before the Great Recession.
Hypothesis 4 (1) There is significant difference of Sharpe ratios between the Budget, Middle or Luxury Market before the Great Recession.
Hypothesis 5 (0) There is no significant difference between the Sharpe ratios of the Budget, Middle or Luxury Market after the Great Recession.
Hypothesis 5 (1) There is significant difference between the Sharpe ratios of the Budget, Middle or Luxury Market after the Great Recession.
Table 6 shows the test statistics of the Sharpe ratio. The upper table shows the statistics for the three sub periods for each market. The first three hypotheses are about differences for each market in these sub periods. As all the outcomes are highly significant in the upper table in Table 6, the first three null hypotheses of the first objective are rejected. For the budget and the luxury market, the Sharpe ratio is expected to be significantly higher after the Great Recession and for the middle market to be significantly lower. However, Table 6 shows highly significant negative test statistics, meaning that for the middle market the Sharpe ratio is significantly higher after the Great Recession as well. Table 9 shows that the means of each sub period in each market
supports this. For each market, the Sharpe ratio is the lowest before the Great Recession. In other words, there is enough evidence to support the first and third alternative hypotheses, but no evidence to support the second alternative hypothesis.
Table 9.
Budget Market n Mean
Before Great Recession 1976 -2.9128 During Great Recession 500 -0.6762 After Great Recession 1697 -0.0055
Middle Market n Mean
Before Great Recession 1976 -3.2373 During Great Recession 500 -0.7350 After Great Recession 1697 -0.0297
Luxury Market n Mean
Before Great Recession 1976 -4.0900 During Great Recession 500 -1.1252
Furthermore, hypotheses four and five are about differences between the three market before and after the Great Recession. The lower table in Table 6 shows the statistics of the Sharpe ratio between the three markets. The test statistics before the Great Recession are highly significant, therefore the null hypothesis of hypothesis 4 can be rejected and there is enough evidence to support the alternative hypothesis. A one-sided t-test was performed and as all the statistics are positive and looking at the means in Table 9, there is enough evidence to conclude that the Sharpe ratio of the luxury market was the lowest, followed by the middle market and the Sharpe ratio of the budget market was the highest.
The lower table in Table 6 shows no significant statistics for the period after the Great
Recession, the null hypothesis of hypothesis 5 cannot be rejected. This implicates that there is no significant difference of the Sharpe ratio between budget, middle or luxury market after the Great Recession.
Scholz’s Sharpe ratios in Table 7 show different test statistics from the original Sharpe ratio. The upper table shows a significant difference for each market after the Great Recession with both the period during as well as the period before the Great Recession. The difference between the period before and during the Great Recession is only significant for the middle market. However, hypotheses one, two and three are still rejected with these findings as for each market the period after the Great Recession is significantly different from the period before the Great Recession.
The lower table in Table 7 shows different statistics as well. The statistics before the Great Recession are still highly significant, but these statistics are negative while the original Sharpe ratio show positive statistics. This means that there is enough evidence to conclude that Scholz’ Sharpe ratio of the budget market was the lowest, followed by the middle market and Scholz’ Sharpe ratio of the luxury market was the highest. After the Great Recession, the lower table in Table 7 shows no significant statistics.
5.2 The second objective
The second objective comes down to whether the markets are outperforming the general retail market index. This can be measured by Jensen’s alpha. A positive alpha means that a portfolio is outperforming the market, while a negative alpha means the portfolio is underperforming the
market. The formula of Jensen’s measure is represented by the formula:
( ) . The second objective to answer the research question is: “Is the budget or the
middle or the luxury market outperforming the general retail index?” The hypotheses around this objective were:
Hypothesis 6 (0) The budget market is not outperforming the general retail market index after the Great ecession in terms of Jensen’s alpha.
Hypothesis 6 (1) The budget market is outperforming the general retail market index after the Great ecession in terms of Jensen’s alpha.
Hypothesis 7 (0) The middle market is not outperforming the general retail market index after the Great ecession in terms of Jensen’s alpha.
Hypothesis 7 (1) The budget market is underperforming the general retail market index after the Great ecession in terms of Jensen’s alpha.
Hypothesis 8 (0) The luxury market is not outperforming the general retail market index after the Great ecession in terms of Jensen’s alpha.
Hypothesis 8 (1) The luxury market is outperforming the general retail market index after the Great ecession in terms of Jensen’s alpha.
Table 10 shows the average alpha of each period within each market. Before the Great
Recession, all the alphas are below zero, which means all the markets are underperforming the general retail market index. After the Great Recession, the alpha of the middle market is still below zero, where the alphas of the budget and luxury market are above zero, implicating that these markets are outperforming the general retail market index and the middle market is still underperforming the general retail market index. Therefore, all the null hypotheses of the second objective can be rejected and there is enough evidence to support the alternative hypotheses
Table 10.
Budget Market n Mean
Before Great Recession 1976 -0.9758 During Great Recession 500 -0.3857 After Great Recession 1697 0.0025
Middle Market n Mean
Before Great Recession 1976 -0.6956 During Great Recession 500 -0.3287 After Great Recession 1697 -0.0200
Luxury Market n Mean
Before Great Recession 1976 -2.3051 During Great Recession 500 -1.7143 After Great Recession 1697 0.0055
Furthermore, from the upper table in Table 8 it can be concluded that within each market, all the periods are significantly different from each other. For all the markets, the alpha after the Great Recession is significantly higher than during the Great Recession and the alpha during the Great Recession is in turn significantly higher than before the Great Recession.
From the lower table in Table 8 it can be derived that before the Great Recession all the markets were significantly different from each other. After the Great Recession however, only the luxury market differs from the middle market. This means that the alpha from the budget market isn’t significantly different from neither the middle nor the luxury market after the Great Recession.
6 Conclusion
The aim of this research was to examine the impact of the changing consumer behaviour on the stock market. The majority of recent papers indicate that middle class suffers most from the recession, while the low budget and high-class companies benefit or remain stable. Different from a couple of years ago, consumers cannot be classified into the budget, middle or luxury segment where they buy their food, clothing and products. Because of the Great Recession, consumers felt financial distress and had to search more and better for lower prices while keeping the same quality. The same consumer now buys in different segments: they trade down in their daily basics but trade up for products that deliver emotional satisfaction.
In this research an event sample of 83 stock listed companies were divided into three groups: the budget, middle and luxury market. Using the TED spread as a parameter, the period from 2000 until 2015 was divided into three periods: before, during and after the Great Recession.
The results show that within each market, the three periods are significantly different from each other. Using the Sharpe ratio, the risk-adjusted returns are negative for each period within each market. This means that for every period in each market, the expected return of the portfolio is lower than the risk-free rate. Comparing these risk-adjusted returns, all the markets show higher returns after the Great Recession than before. There is enough evidence that after the Great Recession the budget and luxury market show higher risk-adjusted returns, but not enough evidence that the suffering middle market shows lower risk-adjusted returns after the Great Recession. Using Scholz’ theory for negative Sharpe ratios, the results still show that within each market the three periods are significantly different from each other.
Furthermore, before the Great Recession the three markets are significantly different from each other. Using the Sharpe ratio, returns in the luxury market are the lowest, followed by the middle market and the budget market has the highest returns. Using Sholz’ Sharpe ratio, the opposite is demonstrated. Returns in the budget market are the lowest, followed by the middle market and the luxury market has the highest returns. After the Great Recession, the Sharpe ratio and Scholz’ Sharpe ratio do not differ among the three markets, implicating that their returns are not significantly different from each other. This means that there is not enough evidence to conclude that the budget or luxury markets have higher returns than the middle market after the Great Recession.
Finally, the results show that before the Great Recession all the three markets are
underperforming the retail market index. There is enough evidence that the budget and the luxury market are outperforming the retail market index after the Great Recession and the results are significantly higher than before the Great Recession. Even though the results for the suffering middle market are significantly higher than before the Great Recession, the middle market is still underperforming the retail market index after the Great Recession.
6.1 Discussion
The results in this research support the main research question about the budget en the luxury market. They were expected to have higher risk-adjusted returns after the Great Recession and they were expected to outperform the general retail market index after the Great Recession. These implications are confirmed by the findings in this research. However, the middle market was expected to have lower risk-adjusted returns after the Great Recession and the opposite is confirmed with this research. Even though the middle market still underperforms the general retail market index after the Great Recession as expected, it performs significantly higher than before the Great Recession.
A suggestion for further research is further research into the middle market. The middle market is suffering since the Great Recession and companies are well aware of the changing consumer behaviour. Companies from the middle market have to re-position themselves before they can meet the needs of a hybrid consumer. The middle market cannot deliver value and cannot accommodate needs anymore. Companies need to trade up to high class or trade down to low budget before they have a chance to reach an effective market position. Further research could go deeper into questions about if and how companies reacted to the Great Recession and the changing consumer behaviour. What happened if a company did not react and what happened if they did react and how?
As regards to the Sharpe ratio, further research could compare Scholz’ ratios and the original Sharpe ratios with the Sharpe ratio of the general retail market and test whether there are significant differences. This could be an alternative way to compare the three markets with the general retail market index and test wether a market is out- or underperforming the retail market. About the comparison with the general retail market index, Jensen’s alpha was calculated to investigate whether the portfolio was out- or underperforming the general retail market index. For the retail market index, the “average equal weighted index” was chosen, because each company weighted equal in its portfolio. Further research could weight each company by their value before uniting them to one portfolio and test these portfolios with the “average value weighted index”.
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Appendix 1: Event Sample Composition
Company Name Symbol
Stock
Exchange Sector Market
ABERCROMBIE & FITCH ANF NSYE CLOTING & ACCESSORIES MIDDLE
AHOLD AH Euronext FOOD RETAIL MIDDLE
AIR BERLIN AB1.F FRA AIRLINES BUDGET
AIR FRANCE-KLM AF Euronext AIRLINES MIDDLE
ALASKA AIR GROUP ALK NYSE AIRLINES MIDDLE
AMER.EAG.OUTFITTERS AEO NYSE CLOTING & ACCESSORIES MIDDLE
ASOS ASC LSE CLOTING & ACCESSORIES MIDDLE
AUDI NSE FRA AUTOMOBILES LUXURY
BELMOND BEL NYSE HOTELS LUXURY
BIG LOTS BIG NYSE FOOD RETAIL BUDGET
BMW BMW FRA AUTOMOBILES LUXURY
BUCKLE (THE) BKE NYSE CLOTING & ACCESSORIES MIDDLE
BURBERRY GROUP BRBY LSE CLOTING & ACCESSORIES LUXURY
CARREFOUR CA Euronext FOOD RETAIL LUXURY
CARTER'S CRI NYSE CLOTING & ACCESSORIES MIDDLE
CATO CATO NYSE CLOTING & ACCESSORIES MIDDLE
CHICO'S FAS CHS NYSE CLOTING & ACCESSORIES MIDDLE
CHINA STHN AIRL ZNH NYSE AIRLINES MIDDLE
CHOICE HOTELS INTL CHH NYSE HOTELS MIDDLE
CHRISTIAN DIOR CDI Euronext CLOTING & ACCESSORIES LUXURY
CHRISTOPHER & BKS. CBK NYSE CLOTING & ACCESSORIES MIDDLE
CITI TRENDS CTRN NASDAQ CLOTING & ACCESSORIES BUDGET
COACH COH NYSE CLOTING & ACCESSORIES MIDDLE
COPA HOLDINGS CPA NYSE AIRLINES MIDDLE
DELHAIZE GROUP DELB Euronext FOOD RETAIL MIDDLE
DILLARDS DDS NYSE GENERAL RETAIL MIDDLE
DOLLAR TREE DLTR NASDAQ GENERAL RETAIL BUDGET
EASYJET EZJ LSE AIRLINES BUDGET
EAST INDIA HOTELS EIH LSE HOTELS LUXURY
ESTEE LAUDER EL NYSE CLOTING & ACCESSORIES LUXURY
ETAM DEVELOPEMENT TAM Euronext CLOTING & ACCESSORIES MIDDLE
FRED'S 'A' FRED NASDAQ GENERAL RETAIL BUDGET
FRENCH CONNECTION FCCN LSE CLOTING & ACCESSORIES MIDDLE
GAP (THE) GPS NYSE CLOTING & ACCESSORIES MIDDLE
GENESCO GCO NYSE CLOTING & ACCESSORIES MIDDLE
GUESS GES NYSE CLOTING & ACCESSORIES MIDDLE
HOMEINNS HOTELS HMIN NASDAQ HOTELS BUDGET
HOTEL CORPORATION HCP LSE HOTELS MIDDLE
HOTELIM LIM MLHOT Euronext HOTELS MIDDLE
HOTEL MAJ CANNES MLHMC Euronext HOTELS LUXURY
INT HOTELS GROUP IHG NYSE HOTELS LUXURY
IMMOB HOTELIERE IMHO Euronext HOTELS LUXURY
JOHN LEWIS JLH LSE FOOTWEAR LUXURY
KOHL'S KSS NYSE FOOD RETAIL MIDDLE
L BRANDS LB NYSE CLOTING & ACCESSORIES MIDDLE
LATAM AIRL LFL NYSE AIRLINES MIDDLE
LES HOTELS BAVEREZ ALLHB Euronext HOTELS LUXURY
LES HOTELS DE PARIS HDP Euronext HOTELS MIDDLE
LVMH MC Euronext CLOTING & ACCESSORIES LUXURY
MACINTOSH RETAIL MACIN Euronext CLOTING & ACCESSORIES MIDDLE
MACY'S M NYSE FOOD RETAIL MIDDLE
MAND.ORNTL.INTL. MDO LSE HOTELS LUXURY
MILL & CPTH HOT MLC LSE HOTELS MIDDLE
MORGANS HOTEL GRP MHGC NASDAQ HOTELS LUXURY
MORRISON SPMKTS MRW LSE FOOD RETAIL MIDDLE
MULBERRY GROUP MUL LSE CLOTING & ACCESSORIES LUXURY
NEXT NXT LSE CLOTING & ACCESSORIES MIDDLE
NIKE NKE NYSE CLOTING & ACCESSORIES LUXURY
NORDSTROM JWN NYSE CLOTING & ACCESSORIES MIDDLE
PEEL HOTELS PHO LSE HOTELS MIDDLE
PENNEY JC JCP NYSE FOOD RETAIL MIDDLE
PORSCHE PAH3 FRA AUTOMOBILES LUXURY
RALPH LAUREN RLH NYSE CLOTING & ACCESSORIES LUXURY
RED LION HOTELS RLH NYSE HOTELS MIDDLE
ROLLS-ROYCE HLDINGS RR LSE AUTOMOBILES LUXURY
RYANAIR HDG. (LON) RYA LSE AIRLINES BUDGET
RYANAIR HOLDINGS RYAAY NASDAQ AIRLINES BUDGET
SAINSBURY SBRY LSE FOOD RETAIL MIDDLE
SKECHERS USA SKX NYSE FOOTWEAR MIDDLE
SOUTHWEST AIRLINES LUV NYSE AIRLINES BUDGET
STEIN MART SMRT NASDAQ GENERAL RETAIL MIDDLE
TARGET TGT NYSE GENERAL RETAIL BUDGET
TATA MOTORS TTM NYSE AUTOMOBILES LUXURY
TED BAKER TED LSE CLOTING & ACCESSORIES LUXURY
TESCO TSCO LSE GENERAL RETAIL MIDDLE
URBAN OUTFITTERS URBN NASDAQ CLOTING & ACCESSORIES MIDDLE
VILLAGE SPRMKT VLGEA NASDAQ FOOD RETAIL LUXURY
WAL MART STORES WMT NYSE FOOD RETAIL BUDGET
WHOLE FOODS MARKET WFM NASDAQ FOOD RETAIL LUXURY
WOLVERINE WWW NYSE CLOTING & ACCESSORIES MIDDLE