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Aggregate tail risk and expected returns

Chapman, David A.; Gallmeyer, Michael F.; Martin, J. Spencer - In: Review of asset pricing studies 8 (2018) 1, pp. 36-76

Persistent link: https://www.econbiz.de/10012001536

Pricing Poseidon : extreme weather uncertainty and firm return dynamics

Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019

Persistent link: https://www.econbiz.de/10012102573

Pricing Poseidon : extreme weather uncertainty and firm return dynamics

Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019

We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets by identifying market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic impact. Stock options on firms with establishments...

Persistent link: https://www.econbiz.de/10012181922

Asset pricing with time varying pessimism and rare disasters

Zhang, Jian; Kong, Dongmin; Liu, Hening; Wu, Ji - In: International review of economics & finance : IREF 60 (2019), pp. 165-175

Persistent link: https://www.econbiz.de/10012203951

How the change of risk announcement on catastrophic disaster affects property prices?

Nakanishi, Hayato - In: The economics of the global environment : catastrophic …, (pp. 577-595). 2016

Persistent link: https://www.econbiz.de/10011730809

Disaster risk and asset returns : an international perspective

Lewis, Karen K.; Liu, Edith X. - In: Journal of international economics 108 (2017), pp. 42-58

Persistent link: https://www.econbiz.de/10011916374

Time-varying rare disaster risks, oil returns and volatility

Demirer, Rıza; Gupta, Rangan; Suleman, Tahir; Wohar, … - In: Energy economics 75 (2018), pp. 239-248

Persistent link: https://www.econbiz.de/10011974013

Dynamics of Tokyo Electric Power Company and the Nikkei : 1985 to 2016 including the Fukushima disaster

Rey, Serge; Nivoix, Sophie - In: Journal of economic integration 33 (2018) 1, pp. 979-1010

Persistent link: https://www.econbiz.de/10011903552

Calibrating CAT bonds for Mexican earthquakes

Härdle, Wolfgang; López Cabrera, Brenda - In: The journal of risk and insurance : the journal of the … 77 (2010) 3, pp. 625-650

Persistent link: https://www.econbiz.de/10008650404

Does uncertainty reduce growth? : using disasters as natural experiments

Baker, Scott; Bloom, Nicholas - 2013

Persistent link: https://www.econbiz.de/10010191904

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