This paper proposes a time series decomposition of book-to-market ratio (BM) into a trend component and an innovation component (I_BM). Under the framework of stock valuation with growth options, we demonstrate that I_BM is negatively related to the change of growth options and therefore...

This paper examines the effect of preferences for liquidity on the relationship between disasters and growth along with disaster risk management. It further demonstrates that preferences for liquidity lead to less consumption. Moreover, from preferences for liquidity perspective, our model can...