Market anomalies and disaster risk: Evidence from extreme weather events

被引：65

作者：

Lanfear, Matthew G. ^{[1
]}

Lioui, Abraham ^{[1
]}

Siebert, Mark G. ^{[1
]}

机构：

[1] EDHEC Business Sch, Roubaix, France

来源：

JOURNAL OF FINANCIAL MARKETS | 2019年 / 46卷

关键词：

Anomalies; Event study; Extreme weather events; Hurricanes; Illiquidity; Rare disasters; Tail risk; SECURITY-PRICE PERFORMANCE; RARE DISASTERS; IDIOSYNCRATIC RISK; CROSS-SECTION; METHODOLOGY; LIQUIDITY; INFERENCE; RETURNS; PREMIUM; EXPLAIN;

D O I：

10.1016/j.finmar.2018.10.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We document strong abnormal effects due to U.S. landfall hurricanes over the period 1990 to 2017 on stock returns and illiquidity across portfolios of stocks sorted by market equity (ME), book-to-market equity ratio (BE/ME), momentum, return-on-equity (ROE), and investment-to-assets (I/A). ROE- and I/A-related long/short factors are insensitive to hurricanes, while size-, BE/ME-, and momentum-related factors are extremely sensitive to these extreme weather events. Long and short legs react differently and high momentum stocks experience a negative impact on their returns an order of magnitude greater than other stocks. Abnormal illiquidity is only able to account for a small fraction of the observed abnormal returns. (C) 2018 Elsevier B.V. All rights reserved.

引用

页数：29

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