volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …

volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …

light on how long-memory investors react to disaster risk and play a role in future prices. The theoretical results show … from the time of the COVID-19 pandemic, including a novel definition of disaster based on COVID-19 intensity. The setup … allows us to disentangle the probability of disaster and investors' updating probability at each point in time which sheds …

Recent studies have shown that disaster risk can generate asset return moments similar to those observed in the U ….S. data. However, these studies have ignored the cross-country asset pricing implications of the disaster risk model. This … paper shows that standard U.S.-based disaster risk model assumptions found in the literature lead to counterfactual …

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 …