• CEO deaths;
  • industrial accidents;
  • event studies;
  • media reports
  • G14


This article examines market efficiency in a natural environment using minute-by-minute share prices following fatal industrial disasters and sudden CEO deaths, and their subsequent media reports. Prices of affected firms start to react within an hour of shock events and fall by 3%; half this fall is reversed prior to the first media reports with the balance reversed by the next trading day. Spreads behave in similar fashion. This is interpreted as market overreaction as risk-averse investors respond to uncertainty created by the shock; prices return to pre-shock levels once it is clear that the event is to be expected and already built into valuations.