The influence of the SARS pandemic on asset prices

Pengcheng Song, Xinxin Ma, Xuan Zhang and Qin Zhao

Pacific-Basin Finance Journal, 2021, vol. 67, issue C

Abstract: The SARS pandemic slowed down household income growth and negatively impacted the financial market. This paper extends the asset pricing literature by providing a new channel to explain the impact of the pandemic on asset prices. First, we propose an income-featuring consumption-based capital asset pricing model (IF-CAPM). Second, the empirical tests show that the IF-CAPM successfully captures structural changes brought about by the SARS pandemic on the financial market and the model performs better than the traditional CAPM.

Keywords: Pandemic; Financial market; Capital asset pricing model; Income-featuring stochastic discount factor; Stochastic general equilibrium (search for similar items in EconPapers)
JEL-codes: G10 G12 O16 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000500

DOI: 10.1016/j.pacfin.2021.101543

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