INVESTMENT STRATEGY BASED ON AVIATION ACCIDENTS: ARE THERE ABNORMAL RETURNS?
This article investigates whether an investment strategy based on aviation accidents can generate abnormal returns. We performed an event study considering all the aviation accidents with more than 10 fatalities in the period from 1998 to 2009 and the stock market performance of the respective airli...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2013 |
| País: | Brasil |
| Institución: | Academia Brasileira de Ciências Contábeis (Abracicon) |
| Repositorio: | Revista de Educação e Pesquisa em Contabilidade |
| Idioma: | portugués inglés español |
| OAI Identifier: | oai:ojs.www.repec.org.br:article/955 |
| Acceso en línea: | https://www.repec.org.br/repec/article/view/955 |
| Access Level: | acceso abierto |
| Palabra clave: | Accidentes Aéreos Estudio de Eventos Estrategia de Inversiones Retorno Anormal y Retorno normal. Acidentes Aéreos Estudo de Eventos Estratégia de Investimentos Retorno Anormal e Retorno normal. Aviation accidents event study investment strategy abnormal returns normal returns. |
| Sumario: | This article investigates whether an investment strategy based on aviation accidents can generate abnormal returns. We performed an event study considering all the aviation accidents with more than 10 fatalities in the period from 1998 to 2009 and the stock market performance of the respective airlines and aircraft manufacturers in the days after the event. The tests performed were based on the model of Campbell, Lo & MacKinlay (1997) for definition of abnormal returns, by means of linear regression between the firms’ stock returns and the return of a market portfolio used as a benchmark. This enabled projecting the expected future returns of the airlines and aircraft makers, for comparison with the observed returns after each event. The result obtained suggests that an investment strategy based on aviation accidents is feasible because abnormal returns can be obtained in the period immediately following an aviation disaster. |
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