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Disaster Resilience and Asset Prices

Marco Pagano (), Christian Wagner and Josef Zechner
Additional contact information
Christian Wagner: WU Vienna University of Economics and Business and Vienna Graduate School of Finance (VGSF)

No 2008, EIEF Working Papers Series from Einaudi Institute for Economics and Finance (EIEF)

Abstract: Using the pandemic as a laboratory, we show that asset markets assign a time-varying price to firms' disaster risk exposure. In 2020 the cross-section of realized and expected stock returns reflected firms' different exposure to the pandemic, as measured by their vulnerability to social distancing. Realized and expected return differentials initially widened and then narrowed, but disaster exposure still commanded a risk premium in December 2020. When inferred from market outcomes, resilience correlates not only with social distancing, but also with cash and environmental ratings. However, vulnerability to social distancing is the only characteristic that identifies persistently scarred firms.

Pages: 82 pages
Date: 2020, Revised 2021-11
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Related works:
Working Paper: Disaster resilience and asset prices (2021) Downloads
Working Paper: Disaster Resilience and Asset Prices (2020) Downloads
Working Paper: Disaster Resilience and Asset Prices (2020) Downloads
Working Paper: Disaster Resilience and Asset Prices (2020) Downloads
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