Since the beginning of 2007, financial markets have encountered a great amount of volatility. This volatility has been caused by fears of massive earnings losses at financial and real estate companies that owned or created Sub-Prime related mortgage products. It has been difficult for the investment community to identify which companies were exposed to the problematic Sub-Prime market and how the losses in the secondary mortgage market would affect other financial sectors. To receive a better understanding of investor behavior during this financial crisis, the present study conducts regression analysis on the effects of stock price changes to rational investor variables (fundamental analysis) and irrational investor variables (intra-industry variables). After careful analysis and running of the empirical model, evidence shows that investors portrayed both irrational and rational behavior during the Sub-Prime market debacle of 2007.