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...

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...

Unexpectedly severe winter weather, which is arguably exogenous to firm and bank fundamentals, represents a significant cash flow shock for bank-borrowing firms. Firms respond to these shocks by drawing on and increasing the size of their credit lines. Banks charge borrowers for this liquidity...