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Do markets love misery? : stock prices and corporate philanthropic disaster response

Muller, Alan (contributor); Kräussl, Roman (contributor) - 2007

While companies have emerged as very proactive donors in the wake of recent major disasters like Hurricane Katrina, it remains unclear whether that corporate generosity generates benefits to firms themselves. The literature on strategic philanthropy suggests that such philanthropic behavior may...

Persistent link: https://www.econbiz.de/10003750045

A Disaster Explanation of Equity Term Structures

Wu, Di - 2020

This paper incorporates the dividend recovery feature into the variable disaster model of Gabaix (2012). The recovery …

Persistent link: https://www.econbiz.de/10012837452

Disaster Risks in Bond Returns

Lin, Hai - 2019

We propose a news-implied rare disaster risk indicator and study its predictive power on the returns of U.S. Treasury … not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … predictability of disaster risk is more significant during periods of economic downturn. Our empirical findings show that disaster …

Persistent link: https://www.econbiz.de/10012860176

Aggregate Tail Risk and Expected Returns

Chapman, David A. - 2016

We examine the connection between tail risk — as measured in Kelly and Jiang (2014) — and the cross-section of expected returns. In conditional predictive regression systems and vector-autoregressions of the market portfolio and the long- and shoresides of the Fama-French factor portfolios,...

Persistent link: https://www.econbiz.de/10013005673