.................................................................................................................................................. i ACKNOWLEDGEMENTS ......................................................................................................................... ii STATEMENT OF ORIGINALITY ........................................................................................................... iii LIST OF FIGURES ..................................................................................................................................... vi LIST OF TABLES ....................................................................................................................................... xi CHAPTER 1 .................................................................................................................................................. 1 CHAPTER 2 .................................................................................................................................................. 5 2.1 CLAIMS-BASED ASSET PRICING ............................................................................................................. 5 2.2 BEHAVIOURAL FINANCE ...................................................................................................................... 10 2.3 CONTRIBUTIONS OF THIS STUDY .......................................................................................................... 15 CHAPTER 3 ................................................................................................................................................ 17 3.1 PROPOSITIONS ON LTCM IMPACTS ...................................................................................................... 19 3.2 PROPOSITIONS ON 2000-BURST IMPACTS ............................................................................................. 22 3.3 PROPOSITIONS ON 9/11 IMPACTS .......................................................................................................... 25 3.4 PROPOSITIONS ON CROSS-EVENT IMPACT COMPARISONS .................................................................... 26 3.5 SUMMARY ........................................................................................................................................... 30 CHAPTER 4 ................................................................................................................................................ 32 4.1 DATA ................................................................................................................................................... 32 4.2 METHODS OF ESTIMATING STATE PRICE DISTRIBUTIONS AND IMPACT MEASURES ............................. 33 CHAPTER 5 ................................................................................................................................................ 52 CHAPTER 6 ................................................................................................................................................ 59 6.1 SUMMARY CONCLUSIONS ON LTCM: ................................................................................................. 60 6.2 SUMMARY CONCLUSIONS ON TECH-BUBBLE BURST: ......................................................................... 64 6.3 SUMMARY CONCLUSIONS ON 9/11: ..................................................................................................... 66 6.4 SUMMARY ON CROSS-EVENT COMPARISONS: ..................................................................................... 70 6.5 COMPARATIVE ANALYSIS WITH CONTROL SAMPLE ............................................................................ 75 6.6 RESULTS VERSUS PROPOSITIONS ......................................................................................................... 79 CHAPTER 7 ................................................................................................................................................ 85 CONCLUSIONS .......................................................................................................................................... 85 REFERENCES ............................................................................................................................................ 87 APPENDIX A. CHRONOLOGY OF NEWS EVENTS DURING LTCM ............................................ 91 APPENDIX B. MATCHING DATES TO MATURITY FOR EACH EVENT. .................................... 94 APPENDIX C. GARCH RESULTS ON NDX AND SPX ........................................................................ 97 APPENDIX D. THE RELATIONSHIP BETWEEN STATE PRICE DENSITY (LI) AND MARKET EXPECTATIONS ...................................................................................................................................... 100 APPENDIX E. DETAILED ANALYSIS RESULTS ON LTCM 1998 ................................................ 102 A. Post-Event Impact Duration ........................................................................................................... 102 B. Size of Impact .................................................................................................................................. 126 C. Information Leakage ...................................................................................................................... 139 APPENDIX F. DETAILED ANALYSIS RESULTS ON TECH-BUBBLE BURST 2000 ................. 147