Risks after disasters: a note on the effects of precautionary saving on equity premiums

Shiba Suzuki

Economics Bulletin, 2009, vol. 29, issue 1, 328-337

Abstract: This paper studies the effects on equity premiums of risks after disasters, which are defined as a sharp rise in volatility of real per capita GDP growth rates immediately following disasters. This paper makes three contributions. First, we analytically demonstrate that if and only if the degree of relative prudence is higher than 2, risks after disasters decrease equity premiums. Second, we find that the differences between equity premiums with and without risks after disasters are quantitatively significant. Third, equity premiums are still higher in the case of disaster than without a disaster.

JEL-codes: E2 G1 (search for similar items in EconPapers)
Date: 2009-03-13
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Citations: View citations in EconPapers (1)

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Working Paper: Risks after Disasters: A Note on the Effects of Precautionary Saving on Equity Premiums (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-08g10020

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