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Corporate Exposure to Weather and Bond Yield Spread
Zhang, Lei - 2020
We study the effect of corporate exposure to weather on bond yield spread. We construct three firm-level weather … exposure measures and find that firms exposed to greater weather risk experience substantially higher yield spread on their … bonds in the secondary and primary markets. Chanel tests reveal that the link between corporate weather exposure and yield …
Persistent link: https://www.econbiz.de/10012840295
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Can You Feel the Heat? Extreme Temperatures, Stock Returns, and Economic Sentiment
Makridis, Christos - 2019
Can fluctuations in climate affect economic activity by altering beliefs about the economy? Using new data on subjective well-being and economic sentiment, this paper documents a causal effect of extreme temperatures (below 15 and above 85 degrees Fahrenheit) on beliefs about current and future...
Persistent link: https://www.econbiz.de/10012900336
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Market Anomalies and Disaster Risk : Evidence from Extreme Weather Events
Lanfear, Matthew - 2018
-, BE/ME-, and momentum-related factors are extremely sensitive to these extreme weather events. Long and short legs react …
Persistent link: https://www.econbiz.de/10012909024
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Pricing Poseidon : Extreme Weather Uncertainty and Firm Return Dynamics
Kruttli, Mathias S. - 2020
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...
Persistent link: https://www.econbiz.de/10012850911
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Pricing Poseidon : extreme weather uncertainty and firm return dynamics
Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019
We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets …
Persistent link: https://www.econbiz.de/10012181922
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Pricing Poseidon : Extreme Weather Uncertainty and Firm Return Dynamics
Kruttli, Mathias S. - 2020
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...
Persistent link: https://www.econbiz.de/10012847804
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Flight to Gold : Extreme Weather Events and Stock Returns
Lanfear, Matthew - 2017
experience substantial positive abnormal returns during these extreme weather events, which suggests that this commodity acts as …
Persistent link: https://www.econbiz.de/10012966335
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Weather and intraday patterns in stock returns and trading activity
Chang, Shao-chi; Chen, Sheng-syan; Chou, Robin K.; Lin, … - In: Journal of banking & finance 32 (2008) 9, pp. 1754-1766
Persistent link: https://www.econbiz.de/10003774760
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Do asset prices reflect fudamentals? : freshly squeezed evidence from the OJ market
Boudoukh, Jacob; Richardson, Matthew; Shen, YuQing; … - In: Journal of financial economics 83 (2007) 2, pp. 397-412
Persistent link: https://www.econbiz.de/10003425461
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Weather-induced mood, institutional investors, and stock returns
Goetzmann, William N.; Kim, Dasol; Kumar, Alok; Wang, Qin - In: The review of financial studies 28 (2015) 1, pp. 73-111
Persistent link: https://www.econbiz.de/10011289296