| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14773 |
| DP14773 Disaster Resilience and Asset Prices | |
| Josef Zechner; Marco Pagano; Christian Wagner | |
| 发表日期 | 2020-05-22 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper investigates whether the stock market prices the effect of social dis- tancing on firms' operations. We document that firms that are more resilient to social distancing signifcantly outperformed those with lower resilience during the COVID-19 outbreak, even after controlling for the standard risk factors. Similar cross-sectional return differentials already emerged before the COVID- 19 crisis: the 2014-19 cumulative return differential between more and less resilient firms is of similar size as during the outbreak, suggesting growing awareness of pandemic risk well in advance of its materialization. Finally, we use stock option prices to infer the market's return expectations after the onset of the pandemic: even at a two-year horizon, stocks of more pandemic-resilient firms are expected to yield signifcantly lower returns than less resilient ones, reflecting their lower exposure to disaster risk. Hence, going forward, markets appear to price exposure to a new risk factor, namely, pandemic risk. |
| 主题 | Financial Economics |
| 关键词 | Asset pricing Rare disasters Social distance Resilience Pandemics |
| URL | https://cepr.org/publications/dp14773-0 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543723 |
| 推荐引用方式 GB/T 7714 | Josef Zechner,Marco Pagano,Christian Wagner. DP14773 Disaster Resilience and Asset Prices. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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