We present a framework to identify market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic impact. Stock options of firms with establishments in the landfall region exhibit large, long-lasting increases in implied volatility, reflecting impact...

This paper analyzes whether consumption-based asset pricing models improve the equity premium forecasts of a hypothetical investor with access to these models from 1947 onwards. The investor imposes economic constraints derived from asset pricing models as model-based priors on predictive...

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...

We present a framework to identify market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic impact. Stock options of firms with establishments in the landfall region exhibit large, long-lasting increases in implied volatility, reflecting impact...