Time-varying rare disaster risk and stock returns

• 成果类型: Article
• 署名作者: Berkman, Henk; Jacobsen, Ben; Lee, John B.
• 署名单位: Massey University; University of Auckland
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.02.019
• 发表日期: 2011
• 页码: 313-332
• 关键词: equity premium; volatility; rare disasters; International political crises; consumption

摘要

This study provides empirical support for theoretical models that allow for time-varying rare disaster risk. Using a database of 447 international political crises during the period 1918-2006, we create a crisis index that shows substantial variation over time. Changes in this crisis index, our proxy for changes in perceived disaster probability, have a large impact on both the mean and volatility of world stock market returns. Crisis risk is positively correlated with the earnings-price ratio and the dividend yield. Cross-sectional tests also show that crisis risk is priced: Industries that are more crisis risk sensitive yield higher returns. (C) 2011 Elsevier B.V. All rights reserved.