US Stock Market Reactions to Terrorist Events Revisited: 1977-2013
Document Type
Conference Proceeding
Publication Date
7-21-2014
Abstract
Although most insurance policies have exclusions for payment as a result of a terrorist attack, there are many indirect impacts of having a policy whose returns are affected by the stock market reaction to a terrorist event. It is imperative for insurers to have models that accurately reflect the systematic risks associated with the aftermath of terrorist attacks. This paper examines eight separate acts of terror and their effect on risk-adjusted return. We find that there is a significant shock, with markets displaying negative and significant abnormal returns in the days following a terrorist attack. However, one week after the terrorist event there are no significant abnormal returns. In addition, the risk-adjusted returns are not significantly different from other periods.
Publication
Allied Academies Summer International Internet Conference Proceedings
Pages
1-11
Department
College of Business and Management
Recommended Citation
Kroger, J., & Reich, R. W. (2014, July 21). US stock market reactions to terrorist events revisited: 1977-2013 [Conference proceeding]. Allied Academies Summer International Internet Conference Proceedings.
