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Prof.Zhu Xiaoneng' Lecture Notice

Publish Date: 2021/06/02 11:03:46    Hits:

Title:Global Disaster Risk Matters

Time:2021.6.3 19:30-21:00

Presenter:Prof.Zhu Xiaoneng

Host:Prof. Bu Hui


This article examines the cross-country asset pricing implications of disaster risk concerns. We construct a new disaster risk index relying on six news-implied rare disaster proxies of Manela and Moreira (2017) and show that this index is a powerful predictor for stock returns and other asset returns in international markets both in and out-of-sample. By further disentangling a global common component from our rare disaster index, we find evidence supporting theories that emphasize globally shared disaster risk as the important driving force of asset price fluctuations. Moreover, we conduct a return decomposition analysis and find that the global disaster risk drives stock returns primarily through the discount rate channel.