Utilizing the industry portfolio classifications that Fama and French provide in their data library, I analyze the specific effects that the 1933 Bank Holiday has on various industries. My empirical results go beyond what Silber (2009) determines to be significantly positive abnormal market returns on March 15, 1933, which is the day after the Bank Holiday and the largest ever one-day increase in the stock market. I use the CAPM and the Fama-French 3-factor Model to find significant systematic risk decreases after the Bank Holiday in the Coal and Transportation industries, as well as systematic risk increases in Consumer Goods and Apparel. To determine the driving factors behind these changes in systematic risk and abnormal returns, I test the correlation between industry leverage ratios and differences in systematic risk changes after the Bank Holiday. The Bank Holiday helps stabilize the economy and the nation’s banking system, which I expect industries with larger debt obligations will benefit more after the Bank Holiday. Inconsistent with my expectations, I don’t find significant evidence that the systematic risks of highly leveraged industries decreases more than industries with lower leverage ratios. I develop my argument to leave room for changes in the model used to estimate systematic risks in order to identify the variables that are the true drivers of the systematic risk changes that I observe
