The impact of natural disasters on the stock returns and volatilities of local firms

The Quarterly Review of Economics and Finance - Tập 63 - Trang 259-270 - 2017
Michaël Bourdeau-Brien1, Lawrence Kryzanowski2
1Faculty of Business Administration, Université Laval, Quebec, QC, Canada G1V 0A6
2Senior Concordia University Research Chair in Finance, John Molson School of Business, Concordia University, Montréal, QC, Canada H3G 1M8

Tóm tắt

Từ khóa


Tài liệu tham khảo

Asongu, 2013

Baker, 2013

Barras, 2010, False discoveries in mutual fund performance: Measuring luck in estimated alphas, Journal of Finance, 65, 179, 10.1111/j.1540-6261.2009.01527.x

Benjamini, 1995, Controlling the false discovery rate: A practical and powerful approach to multiple testing, Journal of the Royal Statistical Society, Series B: Statistical Methodology, 57, 289, 10.1111/j.2517-6161.1995.tb02031.x

Bernile, 2015

Bialkowski, 2008, Stock market volatility around national elections, Journal of Banking and Finance, 32, 1941, 10.1016/j.jbankfin.2007.12.021

Downton, 2005, How accurate are disaster loss data? The case of U.S. flood damage, Natural Hazards, 35, 211, 10.1007/s11069-004-4808-4

Eisensee, 2007, News droughts, news floods, and U.S. disaster relief, Quarterly Journal of Economics, 122, 693, 10.1162/qjec.122.2.693

Engle, 1982, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987, 10.2307/1912773

Essaddam, 2015, Event-study volatility and bootstrapping: An international study, Applied Economics Letters, 22, 209, 10.1080/13504851.2014.934423

Francis, 2012, Evidence linking Arctic amplification to extreme weather in mid-latitudes, Geophysical Research Letters, 39, L06801, 10.1029/2012GL051000

Hansen, 2005, A forecast comparison of volatility models: Does anything beat a GARCH(1,1)?, Journal of Applied Econometrics, 20, 873, 10.1002/jae.800

Hochrainer, 2009

Korniotis, 2013, State-level business cycles and local return predictability, Journal of Finance, 68, 1037, 10.1111/jofi.12017

Leiter, 2009, Creative disasters? Flooding effects on capital, labour and productivity within European firms, Environmental and Resource Economics, 43, 333, 10.1007/s10640-009-9273-9

Ljung, 1978, On a measure of lack of fit in time series models, Biometrika, 65, 297, 10.1093/biomet/65.2.297

Lu, 2011, Unreliable inference for business and economic event studies based on variance dummy variable in a GARCH regression model, Journal of Applied Business and Economics, 12, 45

Luo, 2012

Mechler, 2009

Nakamura, 2013, Crises and recoveries in an empirical model of consumption disasters, American Economic Journal: Macroeconomics, 5, 35

Nelson, 1991, Conditional heteroskedasticity in asset returns: A new approach, Econometrica, 59, 347, 10.2307/2938260

Norrman, 2004, Ericsson's proactive supply chain risk management approach after a serious sub-supplier accident, International Journal of Physical Distribution & Logistics Management, 34, 434, 10.1108/09600030410545463

Noy, 2011, Fiscal storms: Public spending and revenues in the aftermath of natural disasters, Environment and Development Economics, 16, 113, 10.1017/S1355770X1000046X

Raddatz, 2009

Rahmstorf, 2011, Increase of extreme events in a warming world, Proceedings of the National Academy of Sciences of the United States of America, 108, 17905, 10.1073/pnas.1101766108

Ruppert, 2011, GARCH Models, 477

Skidmore, 2002, Do natural disasters promote long-run growth?, Economic Inquiry, 40, 664, 10.1093/ei/40.4.664

Storey, 2002, A direct approach to false discovery rates, Journal of the Royal Statistical Society, Series B: Statistical Methodology, 64, 479, 10.1111/1467-9868.00346

Smith, 2013, US billion-dollar weather and climate disasters: Data sources, trends, accuracy and biases, Natural Hazards, 67, 387, 10.1007/s11069-013-0566-5

Strobl, 2011, The economic growth impact of hurricanes: Evidence from U.S. coastal counties, Review of Economics and Statistics, 93, 575, 10.1162/REST_a_00082

Wang, 2013, The impact of natural disasters on stock markets: Evidence from japan and the US, Comparative Economic Studies, 55, 672, 10.1057/ces.2013.16

West, 1994, Modeling the regional impact of natural disaster and recovery: A general framework and an application to Hurricane Andrew, International Regional Science Review, 17, 121, 10.1177/016001769401700201

Worthington, 2008, The impact of natural events and disasters on the Australian stock market: A GARCH-M analysis of storms, floods, cyclones, earthquakes and bushfires, Global Business and Economics Review, 10, 1, 10.1504/GBER.2008.016824

Worthington, 2004, Measuring the impact of natural disasters on capital markets: An empirical application using intervention analysis, Applied Economics, 36, 2177, 10.1080/0003684042000282489