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The market’s reaction to unexpected, catastrophic events: the case of airline stock returns and the September 11th attacks
7 references·16 citing·50 second hop
The market’s reaction to unexpected, catastrophic events: the case of airline stock returns and the September 11th attacks (2004)The market’s reaction to unexpected, cata…Terrorism-induced structural shifts in financial risk: airline stocks in the aftermath of the September 11th terror attacks (2004)Terrorism-induced structural …The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…Do Asset Fire Sales Exist? An Empirical Investigation of Commercial Aircraft Transactions (1998)Do Asset Fire Sales Exist? An…On the Use of the Multivariate Regression Model in Event Studies (1985)On the Use of the Multivariat…Measuring the Effects of Regulation with Stock Price Data (1985)Measuring the Effects of Regu…The Impact of Merger-Related Regulations on the Shareholders of Acquiring Firms (1983)The Impact of Merger-Related …The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…Stock market reaction to global supply chain disruptions from the 2018 US government ban on ZTE (2022)Stock market reaction to glob…Two decades of contagion effect on stock markets: Which events are more contagious? (2021)Two decades of contagion effe…The Stock Price Reaction of the COVID-19 Pandemic on the Airline, Hotel, and Tourism Industries (2021)The Stock Price Reaction of t…Market reaction to the COVID-19 pandemic: evidence from emerging markets (2021)Market reaction to the COVID-…Natural disasters and analysts' earnings forecasts (2020)Natural disasters and analyst…The impact of terrorist attacks in G7 countries on international stock markets and the role of investor sentiment (2019)The impact of terrorist attac…Stock Market Reaction to Supply Chain Disruptions from the 2011 Great East Japan Earthquake (2017)Stock Market Reaction to Supp…Long-Term Stock Market Volatility and the Influence of Terrorist Attacks in Europe (2017)Long-Term Stock Market Volati…Is there a link between politics and stock returns? A literature survey (2016)Is there a link between polit…War and stock markets: The effect of World War Two on the British stock market (2015)War and stock markets: The ef…Fuel Hedging, Operational Hedging and Risk Exposure – Evidence from the Global Airline Industry (2013)Fuel Hedging, Operational Hed…Stock markets and terrorist attacks: Comparative evidence from a large and a small capitalization market (2011)Stock markets and terrorist a…Terrorism and Stock Market Sentiment (2010)Terrorism and Stock Market Se…Disclosure and the Cost of Capital: Evidence from Firms' Responses to the Enron Shock (2009)Disclosure and the Cost of Ca…Large shocks and the September 11th terrorist attacks on international stock markets (2006)Large shocks and the Septembe…Hedging and Value in the U.S. Airline Industry (2006)Hedging and Value in the U.S.…Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Corporate decisions in times of war: Evidence from the Russia-Ukraine conflict (2022)Does the Russia-Ukraine War Lead to Currency Asymmetries? A US Dollar Tale (2022)Are the European Union stock markets vulnerable to the Russia–Ukraine war? (2023)Determinants of corporate borrowing (1977)On financial contracting (1979)Measuring security price performance (1980)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)Shredded Reputation: The Cost of Audit Failure (2002)The Econometrics of Event Studies (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The political economy of terrorism (2006)CALCULATING TRAGEDY: ASSESSING THE COSTS OF TERRORISM (2007)The Political Economy of Terrorism (2011)Toward a More General Theory of Regulation (1976)Standard Errors in Event Studies (1992)Regulating Infrastructure: The Impact on Risk and Investment (2006)Cross-sectional variation in the economic consequences of international accounting harmonization: The case of mandatory IFRS adoption in the UK (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Global financial crisis and emerging stock market contagion: A volatility impulse response function approach (2015)Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note (2018)Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models (2019)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Inefficient Markets (2000)Market liquidity as a sentiment indicator (2004)Asset Fire Sales (and Purchases) in Equity Markets (2005)Dividend Policy, Growth, and the Valuation of Shares (1961)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Efficient Capital Markets: II (1991)Risk and return: The case of merging firms (1974)Special Information and Insider Trading (1974)Foundations of Finance. (1977)An Approach to Statistical Inference in Cross-Sectional Models with Security Abnormal Returns As Dependent Variable (1986)MODELLING ABNORMAL RETURNS: A REVIEW ARTICLE (1992)Fast profits: Investor sentiment and stock returns during Ramadan (2011)Using daily stock returns (1985)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Assessing the extended impacts of supply chain disruptions on firms: An empirical study (2020)The effects of supply chain diversification during the COVID-19 crisis: Evidence from Chinese manufacturers (2021)The mitigating role of blockchain-enabled supply chains during the COVID-19 pandemic (2021)Introductory Econometrics for Finance (2008)
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References

  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1998Do Asset Fire Sales Exist? An Empirical Investigation of Commercial Aircraft Transactions681 cited
  • 1983The Impact of Merger-Related Regulations on the Shareholders of Acquiring Firms547 cited
  • 1985Measuring the Effects of Regulation with Stock Price Data481 cited
  • 1985On the Use of the Multivariate Regression Model in Event Studies350 cited
  • 2004Terrorism-induced structural shifts in financial risk: airline stocks in the aftermath of the September 11th terror attacks249 cited

Cited by

  • 2015War and stock markets: The effect of World War Two on the British stock market190 cited
  • 2017Stock Market Reaction to Supply Chain Disruptions from the 2011 Great East Japan Earthquake174 cited
  • 2006Large shocks and the September 11th terrorist attacks on international stock markets145 cited
  • 2020Natural disasters and analysts' earnings forecasts124 cited
  • 2009Disclosure and the Cost of Capital: Evidence from Firms' Responses to the Enron Shock123 cited
  • 2010Terrorism and Stock Market Sentiment118 cited
  • 2011Stock markets and terrorist attacks: Comparative evidence from a large and a small capitalization market

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118 cited
  • 2006Hedging and Value in the U.S. Airline Industry108 cited
  • 2021The Stock Price Reaction of the COVID-19 Pandemic on the Airline, Hotel, and Tourism Industries105 cited
  • 2021Market reaction to the COVID-19 pandemic: evidence from emerging markets88 cited
  • 2017Long-Term Stock Market Volatility and the Influence of Terrorist Attacks in Europe86 cited
  • 2021Two decades of contagion effect on stock markets: Which events are more contagious?84 cited
  • 2019The impact of terrorist attacks in G7 countries on international stock markets and the role of investor sentiment82 cited
  • 2022Stock market reaction to global supply chain disruptions from the 2018 US government ban on ZTE75 cited
  • 2016Is there a link between politics and stock returns? A literature survey75 cited
  • 2013Fuel Hedging, Operational Hedging and Risk Exposure – Evidence from the Global Airline Industry73 cited