Abstract
The likelihood of experiencing an earthquake, a tsunami and a nuclear disaster at the same time is minimal and yet it occurred in Japan on Friday, 11 March 2011. That day, which is usually referred to as ＂Black Friday,＂ provides an environment that represents a unique opportunity to assess the performance of equity markets under extreme conditions. This paper attempts to find out how the risks and returns of Japanese industrial portfolios were affected by the three events. Event study methodology is used to estimate abnormal returns while asset pricing models are modified to capture variation in systematic risks. This paper documents evidence indicating that these events affected the Japanese market negatively, with the majority of industries recording negative abnormal returns and a general increase in systematic risk. The alternative energy sector, however, reacted in exactly the opposite manner.
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