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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.



Item Type: MPRA Paper -

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

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

Language: English-

Keywords: Terrorism; Volatility; GARCH; Event study-

Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion ProcessesG - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider TradingG - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages-





Autor: Douch, Mohamed

Fuente: https://mpra.ub.uni-muenchen.de/46529/







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