Do Fund Managers Misestimate Climatic Disaster Risk?

• 成果类型: Article
• 署名作者: Alok, Shashwat; Kumar, Nitin; Wermers, Russ
• 署名单位: Indian School of Business (ISB); University System of Maryland; University of Maryland College Park
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz143
• 发表日期: 2020
• 页码: 1146
• 关键词: institutional investors; HOME BIAS; STOCK; INFORMATION; geography; performance; feedback; shocks; IMPACT

摘要

We examine whether professional money managers overreact to large climatic disasters. We find that managers within a major disaster region underweight disaster zone stocks to a much greater degree than distant managers and that this aversion to disaster zone stocks is related to a salience bias that decreases over time and distance from the disaster, rather than to superior information possessed by close managers. This overreaction can be costly to fund investors for some especially salient disasters like hurricanes and tornadoes: a long-short strategy that exploits the overreaction generates a significant DGTW-adjusted return over the following 2 years.