price, the equilibrium risk-free rate, and risk premia. Climate disasters, which are more likely to occur sooner as … temperature rises, significantly increase risk premia. …

the occurrence of a natural disaster, the reconstruction can be financed with catastrophe bonds (CAT bonds) or reinsurance … basis risk borne by the sponsor while still preserving a non-indemnity trigger mechanism. Our results indicate that the …

impacted than Growth stocks. As a consequence, we conclude that Value stocks are more prone to disaster risk than Growth stocks … risk vary across decile portfolios of stocks sorted by market equity (ME) and book-to-market equity ratio (BE/ME). Abnormal … returns, illiquidity and tail risk are negatively related to firm size, with small-firm stocks exhibiting a larger negative …

risk premium, with the overall equity premium depending on the volatility of the stochastic process that governs climate … change risk. Transition risks lower substantially the participation of carbon intensive assets in the market portfolio, which …

less resilient ones, reflecting their lower exposure to disaster risk. Hence, going forward, markets appear to price … the COVID-19 outbreak, even after controlling for the standard risk factors. Similar cross-sectional return differentials … is of similar size as during the outbreak, suggesting growing awareness of pandemic risk well in advance of its …

This study uses disaggregated establishment-level data to identify a firm’s exposure to physical climate risk and … environmental profiles pays off when climate change risk is materialized …

This paper develops a rare disaster asset pricing model with EZ preferences, in particular including the impact of … macroeconomic consequences of the COVID-19 disaster. I estimate the probability of disaster, disaster states, and the duration of … disaster to shed light on the frequency and size of this disaster and to obtain the macroeconomic sensitivity to COVID-19 as …