Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics
研究飓风等极端天气事件如何影响企业层面的不确定性，发现期权隐含波动率上升反映不确定性，投资者低估此类风险，且飓风冲击影响企业预期股票收益。
ABSTRACT We empirically analyze firm‐level uncertainty generated from extreme weather events, guided by a theoretical framework. Stock options of firms with establishments in a hurricane's (forecast) landfall region exhibit large implied volatility increases, reflecting significant uncertainty (before) after impact. Volatility risk premium dynamics reveal that investors underestimate such uncertainty. This underreaction diminishes for hurricanes after Sandy, a salient event that struck the U.S. financial center. Despite constituting idiosyncratic shocks, hurricanes affect hit firms' expected stock returns. Textual analysis of calls between firm management, analysts, and investors reveals that discussions about hurricane impacts remain elevated throughout the long‐lasting high‐uncertainty period after landfall.