their clients’ natural disaster risk … disaster area. We find robust evidence that banks charge significantly higher loan spreads for firms located in the … neighborhood of the disaster area than for remote firms. The results are not driven by regional spillovers, limited credit supply …

less resilient ones, reflecting their lower exposure to disaster risk. Hence, going forward, markets appear to price … the COVID-19 outbreak, even after controlling for the standard risk factors. Similar cross-sectional return differentials … is of similar size as during the outbreak, suggesting growing awareness of pandemic risk well in advance of its …

This paper develops a rare disaster asset pricing model with EZ preferences, in particular including the impact of … macroeconomic consequences of the COVID-19 disaster. I estimate the probability of disaster, disaster states, and the duration of … disaster to shed light on the frequency and size of this disaster and to obtain the macroeconomic sensitivity to COVID-19 as …

We examine the connection between tail risk — as measured in Kelly and Jiang (2014) — and the cross-section of expected … risk appears to forecast discount rates — and not cash flows — which seems inconsistent with crash-based explanations of … the importance of tail risk. We also compare the time series of tail risk to measures of aggregate uncertainty, a measure …

This study provides empirical support for recent theoretical models that allow for time-varying rare disaster risk … disaster probability, have a statistically significant and economically large impact on both the mean and volatility of world … the involvement of major powers. Using predictive regressions, there is no significant relation between crisis risk and …