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

@article{ART002416442},
author={ 박소정 },
title={Investor’s Overreaction to an Extreme Event: Evidence from the World Trade Center Terrorist Attack},
journal={Seoul Journal of Business},
issn={1226-9816},
year={2018},
volume={24},
number={2},
pages={1-38},
doi={10.35152/snusjb.2018.24.2.001},
url={http://dx.doi.org/10.35152/snusjb.2018.24.2.001}

TY - JOUR
AU - 박소정
TI - Investor’s Overreaction to an Extreme Event: Evidence from the World Trade Center Terrorist Attack
T2 - Seoul Journal of Business
PY - 2018
VL - 24
IS - 2
PB - 서울대학교 경영연구소
SP - 1-38
SN - 1226-9816
AB - 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.
KW - September 11, Overreaction Hypothesis, Uncertain Information Hypothesis, Information Asymmetry
DO - 10.35152/snusjb.2018.24.2.001
UR - http://dx.doi.org/10.35152/snusjb.2018.24.2.001
ER -

박소정 (2018). Investor’s Overreaction to an Extreme Event: Evidence from the World Trade Center Terrorist Attack. Seoul Journal of Business, 24( 2), 1- 38.

박소정 . 2018, “Investor’s Overreaction to an Extreme Event: Evidence from the World Trade Center Terrorist Attack”, Seoul Journal of Business, vol. 24, no. 2, pp. 1-38. Available from: doi:10.35152/snusjb.2018.24.2.001

박소정 “Investor’s Overreaction to an Extreme Event: Evidence from the World Trade Center Terrorist Attack” Seoul Journal of Business 24.2 pp. 1-38 (2018): 1.

박소정 . Investor’s Overreaction to an Extreme Event: Evidence from the World Trade Center Terrorist Attack Seoul Journal of Business [Internet]. 2018; 24( 2), : 1-38. Available from: doi:10.35152/snusjb.2018.24.2.001

박소정 . “Investor’s Overreaction to an Extreme Event: Evidence from the World Trade Center Terrorist Attack” Seoul Journal of Business 24, no.2 (2018): 1-38. doi: 10.35152/snusjb.2018.24.2.001

홈 권호 목록 논문 목록 논문 상세

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

Seoul Journal of Business

약어 : -

2018, vol.24, no.2, pp.1 - 38

DOI : 10.35152/snusjb.2018.24.2.001

발행기관 : 서울대학교 경영연구소

연구분야 : 경영학

박소정¹

¹서울대학교

인용한 논문 수 : - 서지 간략 보기

초록

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.

키워드

September 11, Overreaction Hypothesis, Uncertain Information Hypothesis, Information Asymmetry

참고문헌(27)

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