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 -