Berkman, Henk; Jacobsen, Ben; Lee, John B. - In: Journal of Financial Economics 101 (2011) 2, pp. 313-332
This study provides empirical support for theoretical models that allow for time-varying rare disaster risk. Using a database of 447 international political crises during the period 1918-2006, we create a crisis index that shows substantial variation over time. Changes in this crisis index, our...