Do Fund Managers Misestimate Climatic Disaster Risk
Do Fund Managers Misestimate Climatic Disaster Risk
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基金经理是否错误估计了气候灾害风险
DOI：
10.1093/rfs/hhz143
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发表时间：
2020
影响因子：
8.2
通讯作者：
Russ Wermers
中科院分区：
文献类型：
--
作者：
Shashwat Alok;Nitin Kumar;Russ Wermers
我们研究专业的基金经理是否对大的气候灾害反应过度。我们发现，在一个主要的灾害地区的管理人员在更大程度上低于灾区股票远比管理人员，这种厌恶灾区股票的显着性偏差，随着时间的推移和距离的灾难，而不是上级信息所拥有的密切的管理人员。这种过度反应可能会让投资者为飓风和龙卷风等特别突出的灾难提供资金：利用过度反应的多空策略在接下来的两年中产生显着的DGTW调整回报。
We examine whether professional money managers overreact to large climatic disasters. We find that managers within a major disaster region underweight disaster zone stocks to a much greater degree than distant managers and that this aversion to disaster zone stocks is related to a salience bias that decreases over time and distance from the disaster, rather than to superior information possessed by close managers. This overreaction can be costly to fund investors for some especially salient disasters like hurricanes and tornadoes: a long-short strategy that exploits the overreaction generates a significant DGTW-adjusted return over the following 2 years.