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How will the market react to an unforeseen event? How efficiently will it react to the terrorist attacks on September 11, 2001? This event study tests the semi-strong market efficiency theory by looking at the stock price returns of two samples of totaling 29 firms that were greatly affected by this event using the risk adjusted event study methodology. The evidence shows that both the insurance airline industries were greatly negatively affected on and after the event. However, it is clear to see that the firms in the airline industry were hurt a lot worse overall and their stock price returns took a longer time to recover. Regardless of the differentiation, both industries confirm the semi-strong market efficiency theory.


Faculty Advisor: Frank Bacon

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Insurance Commons


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