Natural Hazard Risk and the Effect on Future Stock Returns
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.
|Economics of Management and Organisation|
|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