events that occurred in Italy in the last three decades, the L’Aquila earthquake in 2009. We assemble a novel dataset by … matching information on the ground acceleration registered throughout the National Strong Motion Network during the earthquake …

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 …