Disaster resilience and asset prices

• 成果类型: Article
• 署名作者: Pagano, Marco; Wagner, Christian; Zechner, Josef
• 署名单位: University of Naples Federico II; Vienna University of Economics & Business; Vienna University of Economics & Business
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.103712
• 发表日期: 2023
• 关键词: Asset pricing; rare disasters; Social distance; resilience; Pandemics

摘要

Using the COVID-19 pandemic as a laboratory, we show that asset markets assign a time -varying price to firms' disaster risk exposure. The cross-section of stock returns reflected firms' different exposure to the pandemic, as measured by their vulnerability to social dis-tancing. As predicted by theory, realized and expected return differentials moved in op-posite directions, initially widening and then narrowing. When inferred from market out-comes, firm resilience correlates mainly with exposure to social distancing: vulnerability to social distancing is priced in changes of firms' expected returns, while measures of fi-nancial and environmental resilience are not. (c) 2023 Elsevier B.V. All rights reserved.