论文标题
灾难弹性和资产价格
Disaster Resilience and Asset Prices
论文作者
论文摘要
本文调查了安全市场是否将社会距离对公司运营的影响。我们记录到，即使在控制了标准的风险因素之后，在Covid-19爆发期间，在Covid-19爆发期间，在社会距离方面更具韧性的公司也表现出较低的弹性。在COVID-19危机之前已经出现了类似的横截面差异：2014 - 19年度累积和不足的公司之间的累积回报差异与爆发期间相似，这表明在其物质化之前，人们对流行风险的认识越来越大。最后，我们使用股票期权价格来推断大流行病发作后市场的回报期望：即使在两年的视野中，大流行较高的公司的股票也有望比弹性较低的股票降低，这反映了其较低的灾害风险的暴露。因此，展望未来，市场似乎将价格暴露于新的风险因素，即大流行风险。
This paper investigates whether security markets price the effect of social distancing on firms' operations. We document that firms that are more resilient to social distancing significantly outperformed those with lower resilience during the COVID-19 outbreak, even after controlling for the standard risk factors. Similar cross-sectional return differentials already emerged before the COVID-19 crisis: the 2014-19 cumulative return differential between more and less resilient firms is of similar size as during the outbreak, suggesting growing awareness of pandemic risk well in advance of its materialization. Finally, we use stock option prices to infer the market's return expectations after the onset of the pandemic: even at a two-year horizon, stocks of more pandemic-resilient firms are expected to yield significantly lower returns than less resilient ones, reflecting their lower exposure to disaster risk. Hence, going forward, markets appear to price exposure to a new risk factor, namely, pandemic risk.
