dc.contributor.author |
Berkman, H |
en |
dc.contributor.author |
Jacobsen, B |
en |
dc.contributor.author |
Lee, JB |
en |
dc.date.accessioned |
2012-04-19T03:29:44Z |
en |
dc.date.issued |
2011 |
en |
dc.identifier.citation |
Journal of Financial Economics 101(2):313-332 2011 |
en |
dc.identifier.issn |
0304-405X |
en |
dc.identifier.uri |
http://hdl.handle.net/2292/17390 |
en |
dc.description.abstract |
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. |
en |
dc.publisher |
Elsevier B.V. |
en |
dc.relation.ispartofseries |
Journal of Financial Economics |
en |
dc.rights |
Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. Details obtained from http://www.sherpa.ac.uk/romeo/issn/0304-405X/ |
en |
dc.rights.uri |
https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm |
en |
dc.title |
Time-varying rare disaster risk and stock returns |
en |
dc.type |
Journal Article |
en |
dc.identifier.doi |
10.1016/j.jfineco.2011.02.019 |
en |
pubs.issue |
2 |
en |
pubs.begin-page |
313 |
en |
pubs.volume |
101 |
en |
dc.rights.holder |
Copyright: Elsevier B.V. |
en |
pubs.end-page |
332 |
en |
dc.rights.accessrights |
http://purl.org/eprint/accessRights/RestrictedAccess |
en |
pubs.subtype |
Article |
en |
pubs.elements-id |
271749 |
en |
pubs.org-id |
Business and Economics |
en |
pubs.org-id |
Accounting and Finance |
en |
pubs.record-created-at-source-date |
2012-01-13 |
en |