Quotation Pagano, Marco, Wagner, Christian, Zechner, Josef. 2022. Disaster Resilience and Asset Prices. European Winter Finance Conference (EWFC) 2022, Queryras, Frankreich, 17.01.


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Abstract

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 Winter Finance Conference (EWFC) 2022
Year 2022
Date 17.01.
Country France
Location Queryras
JEL G01, G11, G12, G13, G14, Q51, Q54

Associations

People
Wagner, Christian (Details)
Zechner, Josef (Details)
External
Pagano, Marco (University of Naples Federico II, Italy)
Organization
Institute for Finance, Banking and Insurance IN (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5305 Bank management (Details)
5307 Business and management economics (Details)
5358 Corporate finances (Details)
5361 Financial management (Details)
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