Risk Comparison and the Impact of Advertising on Stock Liquidity between Defensive and Cyclical Sectors

Abstract

The study aims to compare risk characteristics of Defensive and Cyclical firms and examine the impact of advertisement expenditure on the particular stock liquidity. Risk is compared through four risk measures i.e. Volatility, downside deviation, market beta and maximum drawdown, using monthly return data of five defensive and five cyclical firm from April 2009 to March 2024. Group mean of defensive and cyclical firms is tested through student T test. Stock turnover is used as a proxy for liquidity and results shows significant impact of advertisement on stocks liquidity, positive for cyclical and negative for defensive sector. 

Keywords: Cyclical sector, Defensive sector, Volatility, Advertisement, Turnover, Market efficiency.