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

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  • Douch, Mohamed
  • Essaddam, Naceur

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.

Suggested Citation

  • Douch, Mohamed & Essaddam, Naceur, 2011. "Short and Long-Term Effects of September 11 on Stock Returns: Evidence from U.S. Defense Firms," MPRA Paper 46529, University Library of Munich, Germany, revised Mar 2013.
    • Handle: RePEc:pra:mprapa:46529
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    References listed on IDEAS

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    More about this item

    Keywords

    Terrorism; Volatility; GARCH; Event study;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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