TY  - UNPD
A1  - Pagano, Marco
A1  - Wagner, Christian
A1  - Zechner, Josef
T1  - Disaster resilience and asset prices
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 673
N2  - Using the pandemic as a laboratory, we show that asset markets assign a time- varying price to firms' disaster risk exposure. In 2020 the cross-section of realized and expected stock returns reflected firms' different exposure to the pandemic, as measured by their vulnerability to social distancing. Realized and expected return differentials initially widened and then narrowed, but disaster exposure still commanded a risk premium in December 2020. When inferred from market outcomes, resilience correlates not only with social distancing, but also with cash and environmental ratings. However, vulnerability to social distancing is the only characteristic that identifies persistently scarred firms.
T3  - CFS working paper series - 673 
KW  - asset pricing
KW  - rare disasters
KW  - social distance
KW  - resilience
KW  - pandemics
Y1  - 2021
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/63377
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-633772
UR  - https://ssrn.com/abstract=3983616
N1  - Marco Pagano gratefully acknowledges the 2021 Engelbert Dockner Fellowship, as well as financial support from the Italian Ministry for University and Research (MUR) and the Einaudi Institute for Economics and Finance (EIEF). Christian Wagner is an associate member of the Center for Financial Frictions (FRIC) and acknowledges support from grant no. DNRF102.
IS  - November 24, 2021
PB  - Center for Financial Studies
CY  - Frankfurt am Main
ER  -