抗灾能力和资产价格
Disaster Resilience and Asset Prices
摘要：
本文研究了证券市场是否对社会距离对公司经营的影响进行了定价。我们记录到，在COVID-19爆发期间，即使在控制了标准风险因素后，对社交距离更具弹性的公司的表现也明显优于弹性较低的公司。类似的横截面回报差异在COVID-19危机之前就已经出现：2014-19年抗风险能力较强和较弱的公司之间的累计回报差异与疫情爆发期间的规模相似，表明在疫情发生之前，人们对大流行风险的认识已经有所提高。最后，我们使用股票期权价格来推断大流行爆发后市场的回报预期：即使在两年的时间内，对大流行具有较强抵御能力的公司的股票预期回报率也将显著低于抵御能力较弱的公司，反映出它们面临的灾害风险较低。因此，展望未来，市场似乎会对一个新的风险因素，即大流行病风险进行定价。
英文摘要：
This paper investigates whether security markets price the effect of social distancing on firms' operations. We document that firms that are more resilient to social distancing significantly outperformed those with lower resilience during the COVID-19 outbreak, even after controlling for the standard risk factors. Similar cross-sectional return differentials already emerged before the COVID-19 crisis: the 2014-19 cumulative return differential between more and less resilient firms is of similar size as during the outbreak, suggesting growing awareness of pandemic risk well in advance of its materialization. Finally, we use stock option prices to infer the market's return expectations after the onset of the pandemic: even at a two-year horizon, stocks of more pandemic-resilient firms are expected to yield significantly lower returns than less resilient ones, reflecting their lower exposure to disaster risk. Hence, going forward, markets appear to price exposure to a new risk factor, namely, pandemic risk.
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