Anmerkungen:
In: Journal of Financial Economics (JFE), Vol. 95, No. 2, pp. 174-201, February 2010
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1, 2008 erstellt
Beschreibung:
Behavioral economic studies reveal that negative sentiment driven by bad mood and anxiety affects investment decisions and may hence affect asset pricing. In this study we examine the effect of aviation disasters on stock prices. We find evidence of a significant negative event effect with a market average loss of more than $60 billion per aviation disaster, whereas the estimated actual loss is no more than $1 billion. In two days a price reversal occurs. We find the effect to be greater in small and riskier stocks and in firms belonging to less stable industries. This event effect is also accompanied by an increase in the perceived risk: implied volatility increases after aviation disasters without an increase in actual volatility