Panic Selling When Disaster Strikes: Evidence in the Bond and Stock Markets

• 成果类型: Article
• 署名作者: Huynh, Thanh D.; Xia, Ying
• 署名单位: Monash University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2021.4018
• 发表日期: 2023
• 页码: 7448-7467
• 关键词: physical climate risk; natural disasters; overreaction; establishment-level data

摘要

This study uses disaggregated establishment-level data to identify a firm's exposure to physical climate risk and examines investors' reaction to natural disasters in both the U.S. corporate bond and stock markets. We find that, when a firm is exposed to disasters, investors overreact by depressing the current bond and stock prices, causing future returns to be higher. However, firms with a strong environmental profile experience lower selling pressure on their bonds and stocks, although their fundamentals weakened following disasters. The evidence suggests that corporate investment in improving environmental profiles pays off when climate change risk is materialized.