全球智库信息集成服务系统(G2TT): Disaster Risk and Asset Returns: An International Perspective

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w23065
来源ID	Working Paper 23065
	Disaster Risk and Asset Returns: An International Perspective
	Karen K. Lewis; Edith X. Liu
发表日期	2017-01-23
出版年	2017
语种	英语
摘要	Recent studies have shown that disaster risk can generate asset return moments similar to those observed in the U.S. data. However, these studies have ignored the cross-country asset pricing implications of the disaster risk model. This paper shows that standard U.S.-based disaster risk model assumptions found in the literature lead to counterfactual international asset pricing implications. Given consumption pricing moments, disaster risk cannot explain the range of equity premia and government bill rates nor the high degree of equity return correlation found in the data. Moreover, the independence of disasters presumed in some studies generates counterfactually low cross-country correlations in equity markets. Alternatively, if disasters are all shared, the model generates correlations that are excessively high. We show that common and idiosyncratic components of disaster risk are needed to explain the pattern in consumption and equity co-movements.
主题	International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w23065
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/580739
推荐引用方式 GB/T 7714	Karen K. Lewis,Edith X. Liu. Disaster Risk and Asset Returns: An International Perspective. 2017.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w23065.pdf（472KB）	智库出版物		限制开放	CC BY-NC-SA	浏览