Time-Varying Rare Disaster Risk and Stock Returns
Time-Varying Rare Disaster Risk and Stock Returns
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DOI：
10.2139/ssrn.1572042
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发表时间：
2011-08
期刊：
影响因子：
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通讯作者：
H. Berkman;B. Jacobsen;John B. Lee
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文献类型：
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作者：
H. Berkman;B. Jacobsen;John B. Lee
这项研究提供了经验支持的理论模型，允许随时间变化的罕见的灾害风险。使用1918-2006年期间447次国际政治危机的数据库，我们创建了一个危机指数，显示随着时间的推移发生了重大变化。这一危机指数的变化是我们感知灾难概率变化的代理，对世界股市回报的均值和波动性都有很大影响。危机风险与市盈率和股息率正相关。横截面测试还表明，危机风险是定价的：对危机风险更敏感的行业会产生更高的回报。
This study provides empirical support for theoretical models that allow for time-varying rare disaster risk. Using a database of 447 international political crises during the period 1918-2006, we create a crisis index that shows substantial variation over time. Changes in this crisis index, our proxy for changes in perceived disaster probability, have a large impact on both the mean and volatility of world stock market returns. Crisis risk is positively correlated with the earnings-price ratio and the dividend yield. Cross-sectional tests also show that crisis risk is priced: Industries that are more crisis risk sensitive yield higher returns.