This research investigates the impact of negative information set on stock prices. Terrorism based events were used as proxy of negative information set and stock prices are used as measurement of firm value. Event Study methodology has been employed. From available data of January 2001 to December 2015, six major events resulting in 100+deaths or 200+ injured were our main events. Cumulative Abnormal Returns were calculated by Mean Adjusted Model, and Market Adjusted Model for all six events for all firms as well as for industry classification. Results indicate importance of geographical location for firm value. The events occurring in the big cities have negative impact on firm values whereas events in suburbs, or distant area do not affect firm value.
Volume 12 | 08-Special Issue
Pages: 739-745
DOI: 10.5373/JARDCS/V12SP8/20202576