Disaster risk and asset returns: An international perspective
研究发现，基于美国数据的灾难风险模型无法解释跨国资产定价现象，需要同时考虑共同和特有的灾难风险成分才能解释消费与股票市场的联动模式。
Recent studies have shown that disaster risk can generate asset return moments similar to those observed in the U.S. data. However, these studies have ignored the cross-country asset pricing implications of the disaster risk model. This paper shows that standard U.S.-based disaster risk model assumptions found in the literature lead to counterfactual international asset pricing implications. Given consumption pricing moments, disaster risk from this literature cannot explain the range of equity premia and government bill rates. Furthermore, the independence of disasters presumed in some studies generates counterfactually low cross-country correlations in equity markets. Alternatively, if disasters are all shared, the model generates correlations that are excessively high. We show that common and idiosyncratic components of disaster risk are needed to explain the pattern in consumption and equity co-movements.