-  תקציר מפירסומי מרכז מחקר orif לשוק ההון  -

 Do Share prices Overreact terror attacks Are continuous?

This paper investigates the effect of "routine" terror attacks (a terror attack every two days) on share prices. The empirical findings are based on a unique sample of 460 terror attacks experienced in Israel during the Intifada years, 2000-2003. Based on daily and intra-daily data of share prices, and a Terror Index we construct, we find that: i) share prices decline by about 0.4% on average following each terror attack; ii) the effect of these terror attacks is not characterized by an overreaction and subsequent correction, and its magnitude does not diminish significantly over time.