price, the equilibrium risk-free rate, and risk premia. Climate disasters, which are more likely to occur sooner as … temperature rises, significantly increase risk premia. …

risk premium, with the overall equity premium depending on the volatility of the stochastic process that governs climate … change risk. Transition risks lower substantially the participation of carbon intensive assets in the market portfolio, which …

In RBC models, “disaster risk shocks” reproduce countercyclical risk premia but generate an increase in consumption … procyclical consumption and wages, while preserving countercyclical risk premia, in response to disaster risk shocks. The … solution to this puzzle by developing a New Keynesian model with such a small but time-varying probability of “disaster”. We …

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 …

Using the pandemic as a laboratory, we show that asset markets assign a time- varying price to firms' disaster risk … then narrowed, but disaster exposure still commanded a risk premium in December 2020. When inferred from market outcomes …

While Islamic bonds play a growing role for firms located in emerging economies, the pricing of their risk by investors … bonds pay lower yields than conventional bonds. This suggests that investors incorporate less credit risk in Islamic bonds … in the structuration of Islamic bonds and periods of relative low supply on the Islamic bond market explain that the risk …

The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption … thus provide empirical support for the rare disaster hypothesis, and help reconcile the nexus between real economy and …

The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption … for the rare disaster hypothesis, and help reconcile the nexus between real economy and financial markets implied by the …