Journal of Financial Markets，October 2018

市场异常和灾害风险：来自极端天气事件的证据

作者：Matthew G.Lanfear(EDHEC Business School)

AbrahamLioui(EDHEC Business School)

Mark G.Siebert (EDHEC Business School)

摘要：我们研究了1990年至2017年在美国登陆的飓风对按市值（ME），账面市值比（BE / ME），动量，股本回报率（ROE）和投资与资产比率（I/A）分组的得到的股票组合的收益率和流动性不足所造成的严重异常影响。ROE和I / A相关的多空因子对飓风不敏感，而size，BE/ME和动量相关的因子对这些极端天气事件极为敏感。做多和做空反应不同，高动量股票对其回报的负面影响比其他股票高出一个数量级。异常的非流动性只能解释所观察到的异常收益的一小部分。

关键词：异常;事件研究;极端天气事件;飓风;流动性;罕见灾害;尾部风险

Market anomalies and disaster risk: Evidence from extreme weather events

Matthew G.Lanfear(EDHEC Business School)；AbrahamLioui(EDHEC Business School)；Mark G.Siebert (EDHEC Business School)

ABSTRACT

We document strong abnormal effects due to U.S. landfall hurricanes over the period 1990 to 2017 on stock returns and illiquidity across portfolios of stocks sorted by market equity (ME), book-to-market equity ratio (BE/ME), momentum, return-on-equity (ROE), and investment-to-assets (I/A). ROE- and I/A-related long/short factors are insensitive to hurricanes, while size-, BE/ME-, and momentum-related factors are extremely sensitive to these extreme weather events. Long and short legs react differently and high momentum stocks experience a negative impact on their returns an order of magnitude greater than other stocks. Abnormal illiquidity is only able to account for a small fraction of the observed abnormal returns.

Keywords: Anomalies；Event study；Extreme weather events；Hurricanes；Illiquidity；Rare disasters；Tail risk

原文链接：https://www.sciencedirect.com/science/article/pii/S1386418117302239

翻译：黄涛