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Christian, Wagner ; Josef, Zechner ; Marco, Pagano ; Marco, Pagano ; Josef, Zechner. (2020) Disaster Resilience and Asset Prices.
In: CSEF Working Papers. RePEc:sef:csefwp:563.
Full description at Econpapers
cites:
Panel A. CAPM-adjusted returns 2014 2016 2018 2020 0 20 40 60 High vs. Low resilience cumulative return (%) High Low 2014 2016 2018 2020 0 10 20 30 40 50 60 High−minus−Low resilience cumulative return (%) High−Low Panel B. FF3-adjusted returns 2014 2016 2018 2020 0 10 20 30 40 50 High vs. Low resilience cumulative return (%) High Low 2014 2016 2018 2020 0 10 20 30 40 High−minus−Low resilience cumulative return (%) High−Low Panel C. FF5-adjusted returns 2014 2016 2018 2020 0 10 20 30 40 50 High vs. Low resilience cumulative return (%) High Low 2014 2016 2018 2020 0 10 20 30 40 High−minus−Low resilience cumulative return (%) High−Low – 25 – Figure 5. Stock options-implied risk-neutral variances This figure plots stock options-implied risk-neutral variance indices for firms with high and low resilience to social distancing during the first quarter of 2020. On any given day, we assign a firm to the high resilience index, SVIX 2
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