Global Disaster Risk Matters

• 成果类型: Article
• 署名作者: Chen, Jian; Yao, Jiaquan; Zhang, Qunzi; Zhu, Xiaoneng
• 署名单位: Xiamen University; Jinan University; Shandong University; Shanghai University of Finance & Economics; Shanghai Institute of International Finance & Economics
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4328
• 发表日期: 2023
• 页码: 576-597
• 关键词: rare disaster; International stock markets; global disaster; discount rate channel; partial least square

摘要

This article examines the cross-country asset pricing implications of disaster risk concerns. We construct a new disaster risk index, relying on six news-implied rare disaster proxies of Manela and Moreira (2017), and show that this index is a powerful predictor for stock returns and other asset returns in international markets both in and out of sample. By further disentangling a global common component from our rare disaster index, we find evidence supporting theories that emphasize globally shared disaster risk as the important driving force of asset price fluctuations. Moreover, we conduct a return decomposition analysis and find that the global disaster risk drives stock returns primarily through the discount rate channel.