Who Moves Markets in a Sudden Marketwide Crisis? Evidence from 9/11
比较普通股和封闭式基金在9/11袭击后价格和交易模式的差异，发现散户卖出导致价格暴跌，但后续价格反转取决于信息质量。
Abstract We compare reactions in the prices and trading patterns of common stocks and closed-end funds (CEFs), securities with substantially different investor clienteles, to the Sept. 11, 2001 terrorist attacks. When the market reopened 6 days later, retail investors sold and there were sharp price declines, even in assets with net institutional buying. In the subsequent 2 weeks, price reversals were substantially security specific and thus not simply due to improved systematic sentiment. Consistent with microstructure theory, comparisons between CEFs and common stocks show the speed of these reversals depended significantly on the relative quality and availability of information about fundamental values.