Who moves markets in a sudden market-wide crisis? Evidence from nine-eleven
(Formerly titled "Crisis and recovery in the wake of super-salient news: Who moves markets?")

(with Douglas R. Emery and Michael E. Fuerst)


Journal of Financial and Quantitative Analysis Vol 51 (April 2016), pp. 463-487

We compare reactions in the prices and trading patterns of common stocks and closed-end fund (CEFs), which have substantially different investor clienteles, to the September 11, 2001 terrorist attacks. When the market reopened six days later, retail investors sold and there were sharp price declines--even in assets with net institutional buying. In the subsequent two weeks, price reversals were substantially security-specific and thus not simply due to improved systematic sentiment. Consistent with microstructure theory, comparisons between CEFs and common stocks show the speed of these reversals depended significantly on the relative quality and availability of information about fundamental values.

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