Quotation Pagano, Marco, Wagner, Christian, Zechner, Josef. 2021. Disaster Resilience and Asset Prices. European Finance Association - 48th Annual Meeting, Milano, Italien, 26.08.




Using the pandemic as a laboratory, we show that asset markets assign a time-varying price to firms' disaster risk exposure. In 2020 the cross-section of realized and expected stock returns reflected firms' different exposure to the pandemic, as measured by their vulnerability to social distancing. Realized and expected return differentials initially widened and then narrowed, but disaster exposure still commanded a risk premium in December 2020. When inferred from market outcomes, resilience correlates not only with social distancing, but also with cash and environmental ratings. However, vulnerability to social distancing is the only characteristic that identifies persistently scarred firms.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title Disaster Resilience and Asset Prices
Event European Finance Association - 48th Annual Meeting
Year 2021
Date 26.08.
Country Italy
Location Milano
JEL G01, G11, G12, G13, G14, Q51, Q54


Wagner, Christian (Details)
Zechner, Josef (Details)
Pagano, Marco (University of Naples Federico II, Italy)
Institute for Finance, Banking and Insurance IN (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5361 Financial management (Details)
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