This research studies the effect of regional natural hazard risk to expected rates of return. I construct a novel proxy to measure regional natural hazard risk for states in the U.S. To construct firm-specific natural hazard risk, I identify all U.S. states that are economically relevant to firms and link this to the state-specific risk. I find some evidence that regional natural hazard risk can positively predict cross-sectional stock returns, but the explanatory power is limited.

Smajlbegovic, E.
hdl.handle.net/2105/52126
Economics of Management and Organisation
Erasmus School of Economics

Schipper, J.H.A. (2020, May). Natural Hazard Risk and the Effect on Future Stock Returns. Economics of Management and Organisation. Retrieved from http://hdl.handle.net/2105/52126