题目：Global Disaster Risk Matters

演讲人：朱小能（上海财经大学金融学院教授）

时间：2022年1月4日（周二）12:00-13:00

地点：同济大厦A楼306室

Abstract:

This article examines the cross-country asset pricing implications of disaster risk concerns. We construct a new disaster risk index relying on six news-implied rare disaster proxies of Manela and Moreira (2017) and show that this index is a powerful predictor for stock returns and other asset returns in international markets both in and out-of-sample. By further disentangling a global common component from our rare disaster index, we find evidence supporting theories that emphasize globally shared disaster risk as the important driving force of asset price fluctuations. Moreover, we conduct a return decomposition analysis and find that the global disaster risk drives stock returns primarily through the discount rate channel.

简介：

朱小能，上海财经大学金融学院教授、博导；上海国际金融与经济研究院研究员；从事资产定价、金融市场与宏观经济、金融科技、货币政策等方面的研究。近年来在国际权威期刊《Journal of Financial Economics》、《Management Science》、《Journal of Financial and Quantitative Analysis》、《Review of Finance》等发表论文近30篇。国内权威期刊《经济研究》、《金融研究》、《经济学季刊》、《管理科学学报》等发表论文10多篇；多项决策咨询成果获批示；在《光明日报》《上海证券报》《文汇报》、《凤凰财经》等发表评论文章多篇。主持国家社科基金重大项目、国家自然科学基金、上海市决策咨询课题、教育部人文社科项目等各类课题。担任教育部中国教育智库网特聘专家、上海市金融专硕教指委委员等职。