haku: @indexterm crises / yhteensä: 403
viite: 7 / 403
Tekijä:Berkman, H.
Jacobsen, B.
Lee, J.B.
Otsikko:Time-varying rare disaster risk and stock returns
Lehti:Journal of Financial Economics
2011 : AUG, VOL. 101:2, p. 313-332
Asiasana:volatility
disasters
risk
crises
international
politics
consumption
equities
stock returns
Kieli:eng
Tiivistelmä:This study offers empirical support for theoretical models allowing for time-varying rare disaster risk. Based on a database of 447 international political crises during the period 1918-2006, a crisis index showing substantial variation over time is created. Shifts in this crisis index, our proxy for changes in perceived disaster likelihood, have a substantial impact on both the mean and volatility of world stock market returns. Crisis risk correlates positively with the earningsĀ–price ratio and the dividend yield. Cross-sectional tests also indicate that crisis risk is priced: more crisis risk sensitive industries yield higher returns.
SCIMA tietueen numero: 275447
lisää koriin
SCIMA