Are Value Stocks More Exposed to Disaster Risk? Evidence from Extreme Weather Events

Lanfear, Matthew G.; Lioui, Abraham; Siebert, Mark

doi:10.2139/ssrn.2892948

Cited by 2 publications

(7 citation statements)

References 11 publications

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“…Angbazo and Narayanan (1996, p. 623) use an estimation period of 110 days (Days −120 to −11) for their calculation. Lanfear et al (2017, p. 12) define the estimation window based on the Atlantic hurricane season. This method is especially suitable when multiple hurricanes occur in the same year to avoid a confounding influence of other hurricanes in the estimation window.…”

Section: Empirical Model and Methodologymentioning

confidence: 99%

“…This paper uses the framework from Lanfear et al (2017) and determines its applicability. The general US hurricane season will be adjusted to ensure that all estimation windows are outside the hurricane season.…”

Section: Empirical Model and Methodologymentioning

confidence: 99%

“…Firms of smaller size face more negative abnormal returns than firms of a bigger size. The magnitude of the negative effect is generally decreasing when moving from smaller to larger stock‐size portfolios (Lanfear et al, 2017, p. 15). Results for the book‐to‐market equity ratio (Panel B) indicate that growth stocks (low book equity/market equity) and value stocks (high book equity/market equity) suffer larger negative abnormal returns compared to portfolios in the middle of the decile range.…”

Section: Literature Review and Hypothesesmentioning

confidence: 99%

“…Lanfear et al (2017, p. 15) and Gangopadhyay et al (2010, p. 146) investigate the impact of extreme weather events on stocks, controlled by various capitalization and income variables. Lanfear et al (2017, p. 15) state that microstocks have more negative abnormal returns on hurricanes compared to larger stocks. This paper uses the S&P 500 index membership during the assessed period of this event study as a market capitalization indicator.…”

Section: Literature Review and Hypothesesmentioning

confidence: 99%

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Impact of hurricanes on US insurance stocks

Schuh

Jaeckle²

2022

Risk Manage Insurance Review

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This paper analyzes the impact of hurricanes on insurance stock returns in the United States. The objective is to assess the reaction of insurance stock prices caused by hurricanes using an extensive data sample consisting of the costliest hurricanes since 2004.We aim to understand the insurance stock price reactions and provide possible explanations for the observed results. The main outcome is a negative

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Section: Empirical Model and Methodologymentioning

confidence: 99%

Section: Empirical Model and Methodologymentioning

confidence: 99%

Section: Literature Review and Hypothesesmentioning

confidence: 99%

Section: Literature Review and Hypothesesmentioning

confidence: 99%

See 2 more Smart Citations

Impact of hurricanes on US insurance stocks

Schuh

Jaeckle²

2022

Risk Manage Insurance Review

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“…Traditional research on this subject has mainly employed intervention analysis and event study to analyze the effects of such events indirectly (Kowalewksi and Spiewanowski, 2017;Lanfear et al, 2017). Intervention analysis involves rigorous statistical modeling to test whether a special event affects a time series factor, along with its direction and extent (Box and Tiao, 1975).…”

mentioning

confidence: 99%

Using Google Trends and Baidu Index to analyze the impacts of disaster events on company stock prices

Liu

Geng

et al. 2019

IMDS

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Purpose With the ascendance of information technology, particularly through the internet, external information sources and their impacts can be readily transferred to influence the performance of financial markets within a short period of time. The purpose of this paper is to investigate how incidents affect stock prices and volatility using vector error correction and autoregressive-generalized auto regressive conditional Heteroskedasticity models, respectively. Design/methodology/approach To characterize the investors’ responses to incidents, the authors introduce indices derived using search volumes from Google Trends and the Baidu Index. Findings The empirical results indicate that an outbreak of disasters can increase volatility temporarily, and exert significant negative effects on stock prices in a relatively long time. In addition, indices derived from different search engines show differentiation, with the Google Trends search index mainly representing international investors and appearing more significant and persistent. Originality/value This study contributes to the existing literature by incorporating open-source data to analyze how catastrophic events affect financial markets and effect persistence.

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Are Value Stocks More Exposed to Disaster Risk? Evidence from Extreme Weather Events

Cited by 2 publications

References 11 publications

Impact of hurricanes on US insurance stocks

Impact of hurricanes on US insurance stocks

Using Google Trends and Baidu Index to analyze the impacts of disaster events on company stock prices

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