Disaster resilience and asset prices

Marco Pagano, Christian Wagner and Josef Zechner

No 673, CFS Working Paper Series from Center for Financial Studies (CFS)

Abstract: 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.

Keywords: asset pricing; rare disasters; social distance; resilience; pandemics (search for similar items in EconPapers)
JEL-codes: G01 G11 G12 G13 G14 Q51 Q54 (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-env, nep-ore and nep-rmg
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Citations: View citations in EconPapers (10)

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https://www.econstor.eu/bitstream/10419/248408/1/1782209654.pdf (application/pdf)

Related works:
Journal Article: Disaster resilience and asset prices (2023)
Working Paper: Disaster Resilience and Asset Prices (2021)
Working Paper: Disaster Resilience and Asset Prices (2020)
Working Paper: Disaster Resilience and Asset Prices (2020)
Working Paper: Disaster Resilience and Asset Prices (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfswop:673

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