About: Disaster Resilience and Asset Prices

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An Entity of Type : schema:ScholarlyArticle, within Data Space : covidontheweb.inria.fr associated with source document(s)

Attributes	Values
type	Academic Article research paper schema:ScholarlyArticle
isDefinedBy	Covid-on-the-Web dataset
title	Disaster Resilience and Asset Prices
Creator	Pagano, Marco Wagner, Christian Zechner, Josef
source	ArXiv
abstract	This paper investigates whether security markets price the effect of social distancing on firms' operations. We document that firms that are more resilient to social distancing significantly outperformed those with lower resilience during the COVID-19 outbreak, even after controlling for the standard risk factors. Similar cross-sectional return differentials already emerged before the COVID-19 crisis: the 2014-19 cumulative return differential between more and less resilient firms is of similar size as during the outbreak, suggesting growing awareness of pandemic risk well in advance of its materialization. Finally, we use stock option prices to infer the market's return expectations after the onset of the pandemic: even at a two-year horizon, stocks of more pandemic-resilient firms are expected to yield significantly lower returns than less resilient ones, reflecting their lower exposure to disaster risk. Hence, going forward, markets appear to price exposure to a new risk factor, namely, pandemic risk.
has issue date	2020-05-18(xsd:dateTime)
has license	arxiv
sha1sum (hex)	d8691ce299e018cb7c15414ce6d3a0e1854f7333
resource representing a document's title	Disaster Resilience and Asset Prices
resource representing a document's body	covid:d8691ce299e018cb7c15414ce6d3a0e1854f7333#body_text
is schema:about of	named entity 'return' named entity 'risk factors' named entity 'COVID-19' named entity 'RISK FACTOR' named entity 'SECURITY' »more»

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