Event study reveals divergent sectoral abnormal returns in 491 S&P 500 constituents, indicating flight-to-quality dynamics and severe supply-side repricing.
This article examines the short-run equity market impact of the February 2026 US–Israeli occupation coordinated strikes on Iran using a dual-benchmark event study applied to 491 S&P 500 constituents. Relative to the S&P 500 index (internal benchmark), the aggregate cumulative average abnormal return (CAAR) over the six-trading-day post-event window [0, +5] is −1.76%, indicating that constituents underperformed the cap-weighted index on average. Relative to the EFA international benchmark (iShares MSCI EAFE ETF, excludes US), the same constituents earned a CAAR of +3.00%***, consistent with a flight-to-US-quality effect. Sector heterogeneity is pronounced: Energy firms earn +2.65%** under the internal benchmark, while Consumer Staples (−5.07%), Materials (−4.94%), Health Care (−3.59%*), Industrials (−3.21%), and Consumer Discretionary (−3.23%***) record the largest negative relative returns. Cross-sectional regressions with HC3 standard errors confirm that sector fixed effects explain 15.4% of firm-level CAR variation (joint F-test p < 0.001), compared with only 3.3% for seven firm-level characteristics. Results are robust across estimation window lengths and a six-statistic test battery.
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Alsaifi et al. (2026) studied this question.
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