The impacts of rare disasters on asset returns and risk premiums in advanced economies (1870–2015)
Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet
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The impacts of rare disasters on asset returns and risk premiums in advanced economies (1870–2015). / NguyenHuu, Tam.
in: Finance Research Letters, Jahrgang 45, 102118, 01.03.2022.Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet
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TY - JOUR
T1 - The impacts of rare disasters on asset returns and risk premiums in advanced economies (1870–2015)
AU - NguyenHuu, Tam
PY - 2022/3/1
Y1 - 2022/3/1
N2 - This paper analyses the impacts of rare disasters (financial, geopolitical and natural-technological) on the returns and risk premiums of stock and housing in 17 advanced economies for the period of 1870 to 2015. The stock return is sensitive only to the financial risk but not to the geopolitical and natural-technological ones. The housing return sees moderate impacts of financial and geopolitical disasters, but negligible impacts of natural-technological ones. The rare disasters can explain the surprisingly high risk premium (so-called ”risk premium puzzle”) of stock but not of housing.
AB - This paper analyses the impacts of rare disasters (financial, geopolitical and natural-technological) on the returns and risk premiums of stock and housing in 17 advanced economies for the period of 1870 to 2015. The stock return is sensitive only to the financial risk but not to the geopolitical and natural-technological ones. The housing return sees moderate impacts of financial and geopolitical disasters, but negligible impacts of natural-technological ones. The rare disasters can explain the surprisingly high risk premium (so-called ”risk premium puzzle”) of stock but not of housing.
KW - Financial crises
KW - Geopolitical risks
KW - Housing return
KW - Natural and technological catastrophes
KW - Risk premium puzzle
KW - Stock return
KW - Economics
UR - http://www.scopus.com/inward/record.url?scp=85106557359&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2021.102118
DO - 10.1016/j.frl.2021.102118
M3 - Journal articles
AN - SCOPUS:85106557359
VL - 45
JO - Finance Research Letters
JF - Finance Research Letters
SN - 1544-6123
M1 - 102118
ER -