| Item Type |
Conference or Workshop Item
(Paper)
|
| Abstract |
We examine hurricane exposure as a systematic risk factor in the US stock market. Motivated by
a consumption-based asset pricing model with heterogeneous agents, we derive a necessary and
sufficient condition for a hurricane risk premium in the cross-section of stock returns. Empirically,
we find that – in the period from 1995 to 2020 – stocks that react negatively to aggregate
hurricane losses outperform stocks that react positively by almost 9% p.a. The hurricane premium
is not explained by standard asset pricing risk factors nor stock characteristics. Our
results emphasize the importance of climate risk for firms’ cost of capital. |
| Authors |
Braun, Alexander; Braun, Julia & Weigert, Florian |
| Language |
English |
| Keywords |
Hurricane Risk, Consumption-Based Asset Pricing with Heterogeneous Agents,
Empirical Asset Pricing, Climate Change |
| Subjects |
finance |
| HSG Classification |
contribution to scientific community |
| Date |
September 2022 |
| Event Title |
EGRIE 2022 |
| Event Location |
Vienna |
| Event Dates |
18.09.2022-22.09.2022 |
| Contact Email Address |
julia.braun@unisg.ch |
| Depositing User |
M.A. Julia Braun
|
| Date Deposited |
08 Nov 2022 10:28 |
| Last Modified |
27 Mar 2023 00:27 |
| URI: |
https://www.alexandria.unisg.ch/publications/267867 |
Hurricane Risk and Asset Prices
