Faculty Scholarship 1994 - Present

U.S. Stock Market Reaction to September 11, 2001 Events

Studying the impact of important global events on national stock markets has been a popular research topic in finance. Previous studies generally focus on the impact of the events on stock market volatility and the co-movements of national stock market. The role of firm financial characteristics in explaining the impact of the events on individual stock returns has not received sufficient attention. In this paper, we investigate if the September 11, 2001 events affected individual U.S. stock returns differently based on firm financial characteristics. We find that the stocks of firms with higher betas, larger capitalization, higher debt ratios, higher cumulative returns during -30 to -5 days prior to the event date, and more return volatility during -252 to -5 days prior to the event date incur greater losses during the event period studies.