. 2021 Apr 14;23(1-2):1–29. doi: 10.1057/s41283-021-00070-x

Table 7.

Descriptive statistics Global Financial Crisis (GFC)

Variables	(1)	(2)	(3)	(4)	(5)	(6)	(7)
Variables	Mean	p50	sd	p1	p99	Skewness	N
Panel A: loss, gain, recovery, and valuation ratios
Loss %	− 35.02	− 34.06	17.37	− 73.55	− 0.76	− 0.10	313
P/E_{ex ante}	13.75	13.24	4.23	6.78	27.67	1.21	313
P/E_{ex post}	11.72	10.73	6.12	3.16	34.21	3.38	313
P/B_{ex ante}	2.81	2.35	2.00	0.60	9.31	2.92	313
P/B_{ex post}	1.89	1.54	1.40	0.38	8.03	2.32	313
D/P_{ex ante}	0.0154	0.0128	0.0147	0	0.0590	1.13	313
D/P_{ex post}	0.0200	0.0170	0.0175	0	0.0654	0.65	313
Panel B: Gordon factors
Implied growth w_{ex ante}	16.17	14.86	9.75	1.93	45.89	2.27	313
Implied growth w_{ex post}	13.33	12.31	8.70	− 0.21	43.73	1.63	313
Discount rate k_{ex ante}	17.71	16.18	9.25	4.66	46.38	2.61	313
Discount rate k_{ex post}	15.32	14.08	8.20	2.41	44.48	1.84	313
ROE r_{ex ante}	20.16	18.37	11.44	5.55	53.42	2.82	313
ROE r_{ex post}	16.99	15.27	10.31	2.10	53.12	2.06	313
Payout ratio 1 − b_{ex ante}	20.49	17.24	21.35	0	81.62	2.25	313
Payout ratio 1 – b_{ex post}	23.24	17.71	24.34	0	106.45	1.86	313

This table reports the descriptive statistics with respect to stock returns during the Global Financial Crisis (GFC) crisis and commonly used valuation ratios in panel A. Losses are measured from August 29, 2008, to December 12, 2008. All valuation ratios are 12 months forward-looking ratios. The data are from S&P Capital IQ. The Gordon factors reported in Panel B are calculated as defined in Eqs. (1) through (6) in the “Methodology” section of the paper.