Jian Chen, Jiaquan Yao, Qunzi Zhang, Xiaoneng Zhu: Global Disaster Risk Matters

发表期刊：Management Science

发表时间：Published Online: March 14, 2022

作者及单位：Jian Chen^a, Jiaquan Yao^b, Qunzi Zhang^c, Xiaoneng Zhu^d,*

^a Department of Finance, School of Economics, Xiamen University, Xiamen 361005, China;

^b School of Management, Jinan University, Guangzhou 510632, China;

^c School of Economics, Shandong University, Jinan 250100, China;

^d Shanghai University of Finance and Economics, and Shanghai Institute of International Finance and Economics, Shanghai 200433, China

摘要：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.

关键词：rare disaster; international stock markets; global disaster; discount rate channel ; partial least square