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Investor’s Overreaction to an Extreme Event: Evidence from the World Trade Center Terrorist Attack

박소정

Seoul Journal of Business2018https://doi.org/10.35152/snusjb.2018.24.2.001article
ABDC C
Weight
0.26

What the paper says

This paper investigates whether investors overreacted to the World Trade Center terrorist attack, using insurers' stock returns.Short-term abnormal return reversals are observed after the 9/11 attack.The reversals may reflect the substantially increased uncertainty surrounding insurer stocks after the event, meaning that the price reactions are efficient risk adjustments.However, after controlling for the change in risk, I still find evidence of price reversals, which I attribute to investor overreaction.To bolster this claim, I provide cross-sectional evidence that reversals are stronger for insurers with higher information asymmetry, which have wider ex-ante bid-ask spreads and smaller numbers of analysts following.This result indicates that the reversals are likely due to behavioral biases.

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Cite this paper

https://doi.org/https://doi.org/10.35152/snusjb.2018.24.2.001

Or copy a formatted citation

@article{박소정2018,
  title        = {{Investor’s Overreaction to an Extreme Event: Evidence from the World Trade Center Terrorist Attack}},
  author       = {박소정},
  journal      = {Seoul Journal of Business},
  year         = {2018},
  doi          = {https://doi.org/https://doi.org/10.35152/snusjb.2018.24.2.001},
}

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Investor’s Overreaction to an Extreme Event: Evidence from the World Trade Center Terrorist Attack

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Evidence weight

0.26

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.