Failure to Share Natural Disaster Risk
研究检验了金融中介的风险暴露是否反映在资产价格中，通过分析巨灾债券发现71%的预期收益变化可由中介边际效用解释，且外部资本改善会降低总体溢价。
Abstract I test whether asset prices reflect risk exposures of financial intermediaries in a setting well-suited to tackling concerns about omitted risk factors. I analyze catastrophe bonds whose cash flows are linked to natural disasters and find that 71% of the security-level variation in expected returns can be explained by a theoretically motivated measure of intermediaries’ marginal utility. Assuming natural disasters are independent of aggregate wealth, this result is inconsistent with any alternative explanation based on unobserved macroeconomic risks. In addition, the aggregate premium decreases and becomes less sensitive to the occurrence of disasters when intermediaries’ access to outside capital improves.