Chen, Hui; Joslin, Scott; Tran, Ngoc-Khanh - In: Review of Financial Studies 25, 7, pp. 2189-2224
Risks of rare economic disasters can have a large impact on asset prices. At the same time, difficulties in inference regarding both the likelihood and severity of disasters, as well as agency problems, can lead to significant disagreements among investors about disaster risk. We show that such...
