Disaster resilience and asset prices
- 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.
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| Author: | Marco Pagano, Christian WagnerORCiDGND, Josef ZechnerORCiDGND |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-633772 |
| URL: | https://ssrn.com/abstract=3983616 |
| Parent Title (English): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 673 |
| Series (Serial Number): | CFS working paper series (673) |
| Publisher: | Center for Financial Studies |
| Place of publication: | Frankfurt am Main |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2021 |
| Year of first Publication: | 2021 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2021/12/20 |
| Tag: | asset pricing; pandemics; rare disasters; resilience; social distance |
| Issue: | November 24, 2021 |
| Page Number: | 85 |
| Note: | 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. |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
