The impacts of rare disasters on asset returns and risk premiums in advanced economies (1870–2015)

Tam NguyenHuu

Finance Research Letters, 2022, vol. 45, issue C

Abstract: This paper analyses the impacts of rare disasters (financial, geopolitical and natural-technological) on the returns and risk premiums of stock and housing in 17 advanced economies for the period of 1870 to 2015. The stock return is sensitive only to the financial risk but not to the geopolitical and natural-technological ones. The housing return sees moderate impacts of financial and geopolitical disasters, but negligible impacts of natural-technological ones. The rare disasters can explain the surprisingly high risk premium (so-called ”risk premium puzzle”) of stock but not of housing.

Keywords: Housing return; Stock return; Risk premium puzzle; Financial crises; Geopolitical risks; Natural and technological catastrophes (search for similar items in EconPapers)
JEL-codes: E21 G12 N40 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612321001999
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321001999

DOI: 10.1016/j.frl.2021.102118

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().