تغییرات ساختاری ناشی از تروریسم در ریسک مالی: سهام شرکت هواپیمایی در پس از حملات تروریستی سپتامبر 11

This paper investigates the effects of terror attacks of September 11 on a set of airline stocks listed at various international stock markets. Utilizing the Market Model as the relevant return generating mechanism, we document a structural break in systematic risk (beta) for airline stocks. Moreover, our empirical evidence shows that, apart from the systematic risk, idiosyncratic risk has also substantially increased. In quantitative terms, conditional systematic risk has on average more than doubled, while the percentage it represents over total risk has shown a considerable increase. These results have implications for portfolio diversification and the cost (and ability) of airlines in raising capital.