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Alexander Braun

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Alexander Braun

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Prof. Dr.

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Braun

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Alexander

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alexander.braun@unisg.ch

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+41 71 224 3653

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Braun, Alexander 3

Weigert, Florian 3

Alexander Braun 1

Florian Weigert 1

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Climate Change 2

Consumption-Based Asset Pricing with Heterogeneous Agents 2

Empirical Asset Pricing 2

Hurricane Risk 2

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Now showing 1 - 4 of 4

Extreme Weather Risk and the Cost of Equity

( 2023-09)
Julia Braun
;
Alexander Braun
;
Florian Weigert

We examine if extreme weather exposure impacts firms’ cost of equity. Motivated by a consumption-based asset pricing model with heterogeneous agents, we reveal the exis- tence of an extreme weather risk premium in the cross-section of stock returns. In the period from 1995 to 2019, domestic U.S. stocks with the most negative sensitivity to thunderstorm losses earned excess returns of 6.5% p.a. over those with the most posi- tive sensitivity. This premium can neither be explained by risk factors from standard asset pricing models nor by firm characteristics. Our results reveal a novel link between climate risk and firm value.

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/118277
Hurricane Risk and Asset Prices

( 2022-09)
Braun, Alexander
;
Braun, Julia
;
Weigert, Florian

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/108340
Hurricane Risk and Asset Prices

( 2021-10)
Braun, Alexander
;
Braun, Julia
;
Weigert, Florian

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/109841
Hurricane Risk and Asset Prices

( 2020-08)
Braun, Alexander
;
Braun, Julia
;
Weigert, Florian

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/111905

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