Related papers: Disaster Resilience and Asset Prices
We demonstrate that the epidemic renormalisation group approach to pandemics provides an effective and simple way to investigate the dynamics of disease transmission and spreading across different regions of the world. The framework also…
We investigate whether the tails of firm-level idiosyncratic return distributions are driven by common shocks. We use quantile factor analysis to extract such common idiosyncratic quantile factors with asymmetric pricing effects and we find…
The paper studies different regression approaches for modeling COVID-19 spread and its impact on the stock market. The logistic curve model was used with Bayesian regression for predictive analytics of the coronavirus spread. The impact of…
There has been considerable public debate about whether the economic impact of the current COVID19 restrictions are worth the costs. Although the potential impact of COVID19 has been modelled extensively, very few numbers have been…
Strong social distancing restrictions have been crucial to controlling the COVID-19 outbreak thus far, and the next question is when and how to relax these restrictions. A sequential timing of relaxing restrictions across groups is explored…
Behavioral responses to pandemics are less shaped by actual mortality or hospitalization risks than they are by risk attitudes. We explore human mobility patterns as a measure of behavioral responses during the COVID-19 pandemic. Our…
We study how to assess the potential benefit of diversifying an equity portfolio by investing within and across equity sectors. We analyse 20 years of US stock price data, which includes the global financial crisis (GFC) and the COVID-19…
We analyze how investor expectations about economic growth and stock returns changed during the February-March 2020 stock market crash induced by the COVID-19 pandemic, as well as during the subsequent partial stock market recovery. We…
The COVID-19 pandemic left its unique mark on the 21st century as one of the most significant disasters in history, triggering governments all over the world to respond with a wide range of interventions. However, these restrictions come…
Since several years, the fragility of global supply chains (GSCs) is at historically high levels. In the same time, the landscape of hybrid threats is expanding; new forms of hybrid threats create different types of uncertainties. This…
We provide quantitative predictions of first order supply and demand shocks for the U.S. economy associated with the COVID-19 pandemic at the level of individual occupations and industries. To analyze the supply shock, we classify…
The dynamics of epidemics depend on how people's behavior changes during an outbreak. At the beginning of the epidemic, people do not know about the virus, then, after the outbreak of epidemics and alarm, they begin to comply with the…
The aim of this study is to investigate quantitatively whether share prices deviated from company fundamentals in the stock market crash of 2008. For this purpose, we use a large database containing the balance sheets and share prices of…
Governments across the world are currently facing the task of selecting suitable intervention strategies to cope with the effects of the COVID-19 pandemic. This is a highly challenging task, since harsh measures may result in economic…
Pandemic control measures like lock-down, restrictions on restaurants and gatherings, social-distancing have shown to be effective in curtailing the spread of COVID-19. However, their sustained enforcement has negative economic effects. To…
Recent crises like the COVID-19 pandemic and geopolitical tensions have exposed vulnerabilities and caused disruptions of supply chains, leading to product shortages, increased costs, and economic instability. This has prompted increasing…
Using the carefully selected industry classification standard, we divide 102 industry securities indices in China's stock market into four demand-oriented sector groups and identify demand-oriented industry-specific volatility spillover…
We recently described a dynamic causal model of a COVID-19 outbreak within a single region. Here, we combine several of these (epidemic) models to create a (pandemic) model of viral spread among regions. Our focus is on a second wave of new…
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations…
The study on risk preferences and its potential changes amid natural catastrophes has been subject of recent study, producing contradictory findings. An often proposed explanation specifically distinguishes between the opposite effect of…