Munich Personal RePEc Archive

Short and Long-Term Effects of September 11 on Stock Returns: Evidence from U.S. Defense Firms

Douch, Mohamed and Essaddam, Naceur (2011): Short and Long-Term Effects of September 11 on Stock Returns: Evidence from U.S. Defense Firms. Published in: Journal of Applied Finance & Banking , Vol. 3, (April 2013): pp. 239-253.

[img]
Preview
PDF
MPRA_paper_46529.pdf

Download (147kB) | Preview

Abstract

Using the multivariate regression methodology, we investigate the short-term effect of September 11, 2001 on US defense firms. Our findings suggest that the market differentiated among US defense firms based on the percentage of defense sales to total sales. In addition, the behaviour of the abnormal returns does not change when we use models that account for time variation of stock return volatility (GARCH). In the long-term, our results suggest that the US defense firms only outperform over a twelve-month period. However, the significant abnormal performance disappears over an eighteen-month period.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.