Seminar 217, Risk Management: "Hurricane Risk and Asset Prices" (Online)

Seminar 217, Risk Management: "Hurricane Risk and Asset Prices" (Online)

Risk Seminar
Sep 21, 2021, 11:00 AM - 12:30 PM | Online via Zoom | Happening As Scheduled
Alex Braun, University of St. Gallen (Speaker - Featured)

ABSTRACT: We examine hurricane exposure as a systematic risk factor in the US stock market. Using a consumption-based asset pricing model with heterogeneous agents subject to uninsurable shocks, we derive a necessary and a sufficient condition for a hurricane risk premium. Empirically, both conditions are fulfilled in the period 1995−2020, characterized by elevated hurricane activity. We...