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

Mohamed Douch and Naceur Essaddam

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Terrorism; Volatility; GARCH; Event study (search for similar items in EconPapers)
JEL-codes: C22 G14 G21 (search for similar items in EconPapers)
Date: 2011-01, Revised 2013-03
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