| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29837 |
| 来源ID | Working Paper 29837 |
| Stock Volatility and the War Puzzle | |
| Gustavo S. Cortes; Angela Vossmeyer; Marc D. Weidenmier | |
| 发表日期 | 2022-03-14 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | U.S. stock volatility is 33 percent lower during wartime and periods of conflict. This is true even for World Wars I and II, which would seemingly increase uncertainty. In a seminal paper, Schwert (1989) identified the “war puzzle” as one of the most surprising facts from two centuries of stock volatility data. We propose an explanation for the puzzle: the profits of firms become easier to forecast during wartime due to massive government spending. We test this hypothesis using newly-constructed data on more than 100 years of defense spending. The aggregate analysis finds that defense spending reduces stock volatility. The sector level regressions show that defense spending predicts lower stock volatility for firms that produce military goods. Finally, an event-study demonstrates that earnings forecasts of defense firms by equity analysts become significantly less disperse after 9/11 and the invasions of Afghanistan (2001) and Iraq (2003). |
| 主题 | Macroeconomics ; Business Cycles ; Financial Economics ; Financial Markets ; Public Economics ; National Fiscal Issues ; History ; Macroeconomic History |
| URL | https://www.nber.org/papers/w29837 |
| 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/587510 |
| 推荐引用方式 GB/T 7714 | Gustavo S. Cortes,Angela Vossmeyer,Marc D. Weidenmier. Stock Volatility and the War Puzzle. 2022. |
| 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 | ||
| w29837.pdf（1258KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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