MS：灾害来临时的恐慌性抛售：债券和股票市场的证据.docx

《MS：灾害来临时的恐慌性抛售：债券和股票市场的证据.docx》由会员分享，可在线阅读，更多相关《MS：灾害来临时的恐慌性抛售：债券和股票市场的证据.docx（19页珍藏版）》请在课桌文档上搜索。

1、informsMANAGEMENTSCIENCEVol.69,No.12,December2023zpp.7448-7467ISSN0025-1909(print),ISSN1526-5501(online)PanicSellingWhenDisasterStrikes:EvidenceintheBondandStockMarketsp2J3saISIqcnp-SlUoQSnUoSJodJo工ZT90rtzoeqQJnZICc-Zocz-Z,二ZlKq8JoSIUJO一WulojJPUPEOWMoaThanhD.Huynh,aYingXiaaaDepartmentofBankingandFin

2、ance,MonashBusinessSchl,MonashUniversity,Victoria3145,AustraliaContaccthanh.huvnhmonash.eduz)https:/orcid.org/0000-0001-7970-1464(TDH);Ving.xiamonash.edu,皮;https:/orcid.org/0000-0003-1488-3732(YX)Keywords：physicalclimaterisknaturaldisastersoverreactionestablishment-leveldataAbstract.Thisstudyusesdis

3、aggregatedestablishment-leveldatatoidentifyafirm,sexposuretophysicalclimateriskandexaminesinvestors*reactiontonaturaldisastersinboththeU.S.corporatebondandstockmarkets.Wefindthat,whenafirmisexposedtodisasters,investorsoverreactbydepressingthecurrentbondandstockprices,causingfuturereturnstobehigher.H

4、owever,firmswithastrongenvironmentalprofileexperiencelowersellingpressureontheirbondsandstocks,althoughtheirfundamentalsweakenedfollowingdisasters.TheevidencesuggeststhatCOrPOrateinvestmentinimprovingenvironmentalprofilespaysoffwhenclimatechangeriskismaterialized.History:ThispaperwasacceptedbyCoIinM

5、ayer,SpecialSectionofManagementScienceonBusinessandClimateChange.SupplementalMaterial:Thedatafilesandonlineappendixareavailableat.2021.4018.Received:March24.2020Revised:September14,2020Accepted:January16,2021PublishedOnlineinArticlesinAdvance:August11.2021Copyright:2021INFORMS1. IntroductionTheUnite

6、dStatesisamongthetopthreecountrieshitbythegreatestnumberofnaturaldisastersoverthepasttwodecades(TheEconomist2017).1BlackRock(2019)predictsthatextremeclimaticeventswillcostatleast1%ofgrossdomesticproduct(GDP)ofmostmetropolitanareasintheUnitedStatesby2060-2080underanoclimateaction*scenario.HsiangandJi

7、na(2014)estimatethataheftycyclonecarriesthesameimpactonincomepercapitaasabankingcrisis,anditcanhaveaprolongedinfluenceontheeconomicdevelopmentofacountry.Inthisstudy,welookintothestockandbondmarketsandexaminehowinvestorsreactwhenafirmisexposedtonaturaldisasters.Giventhatstocksandbondsarethetwomajorco

8、mponentsofafirmscostoffinancing,examiningthemarketreactiontodisasterswilldeepenourunderstandingofthepossiblepenaltythatinvestorsimposeonexposedfirms.Thisunderstandingalsoguidesmanagersonthetypeofcorporateinvestmentsthatmighthelpmitigatethesecosts.Forpolicymakers,itisimperativetoexaminewhetherthemark

9、etreactionisconditionaluponfirmattributes,becauseitimpliesthatpoliciespromotingefficientpricingofphysicalclimateriskmaynotbehomogenousforallfirms.Despitetheimportanceofthisfirm-levelanalysis,thesequestionshavenotbeenfullyexploredintheclimatefinanceliterature,possiblybecauseoftherestrictedavailabilit

10、yofgranulardetailsonafirmsestablishmentlocations.Ourstudycontributestothisliteraturebyusingcomprehensiveestablishment-leveldataonsubsidiaries,branches,andplantsofU.S.firmsfromtheNationalEstablishmentTime-Series(NETS)databaseandthecounty-levelinformationondisasterdamagesfromtheSpatialHaZardEventsand1

11、.ossesDatabasefortheUnitedStates(SHE1.DUS).Afirmisdeemedtobeexposedtodisasterswhenitsestablishmentsarelocatedindisaster-struckcounties.Usingbothportfolioanalysisandmultivariateregressions,wefindapositiverelationbetweenafirmsexposuretonaturaldisastersanditsfuturestockandbondreturns.Specifically,whena

12、firmsestablishmentsarelocatedincountieshitbynaturaldisasters,itsfuturemonthlystockreturnsincreaseby14.6basispoints(bps)anditsfuturemonthlybondreturnsincreaseby8.4bps.Themagnitudeiseconomicallymeaningful,becausetheseestimatesareequivalentto14%and16%ofthesamplemeansofstocksandbonds,respectively.Theser

13、esultsarerobusttousingalternativemeasuresoffirmleveleconomicexposureandcontrollingforknownriskcharacteristics,unobservabletime-invariantdifferencesacrossfirms,andseasonalityeffects.Moreover,theseeffectsarestrongerasdisastersaremoresalient.Placebotestsofpseudo-disastersonunexposedfirmsshowaninsignifi

14、cantrelation,suggestingthatourfindingsarenotspuriousresults.Wefurtherfindthat,afteradisasterstrikes,theestablishmentssalesandthefirm,saggregatesalesdecrease.2Theseresultsserveasvalidationforouridentificationofaffectedestablishments,becauseitisp2J3saISIqcnp-SlUoQSnUoSJodJo工ZT90rtzoeqQJnZICc-Zocz-Z,二Z

15、lKq8JoSIUJO一WulojJPUPEOWMoasuccessfulincapturingdisasterimpactsonfirmfundamentals.Theyalsoindicatethatbothbehavioraltheory(investorsoverreactiontodisasters;DeBondtandThaler1985)andrationalexpectation(anincreaseinriskbecauseoflossesinfirmfundamentals)couldexplainourheadlinefindings.Wethereforepresent

16、severalfindings,which,takentogether,leantowardthebehavioralexplanation.Acentralpredictionoftheoverreactionhypothesisisthatinvestorsoverreacttodisastersbydepressingthecurrentpricesofexposedfirmsstocksandbonds,causingthecontemporaneousrelationbetweenreturnsanddisasterstobenegative.Aspricesdropbelowfun

17、damentalvalues,theywillbounceback.Weindeedfindthatcontemporaneousreturnsonbondsandstocksaresignificantlylowerwhenthefirmisexposedtodisasters.Asaconsequenceofthispricepressure,weobserveanincreaseinreturnsonstocksandbondsofexposedfirmsafterward.Wenextuseinsidertradingactivitiestoexaminewhetherpricecha

18、ngesarepurelydrivenbythereductionoffirmfundamentals.Ifinvestorsoverreacttodisastersbyoversellingexposedrms,stocks,theninsiderscouldbebetteroffpurchasingtheirownstocks,becausestockpriceswerebelowtheirfundamentalvalues(Seyhun1990zRozeffandZaman1998).Weindeedfindthatinsiderspurchasesincrease,consistent

19、withthenotionthattheseinsidersbelievetheirownfirmssharepricesareoverlydepressed.Totheextenttlatattentiontoclimatechangeinfluencesinvestors*reactiontodisasters,weexpectthatourresultsaremorepronouncedinrecentyearswheninvestorsconcernsaboutclimatechangeriskheightened(Kruegeretal.2020).Usingthepublicati

20、onoftheSternReviewin2006asaneventthatarousedpublicattentiontoclimatechange(Painter2020),wefindthattheeffectofdisastersissignificantonlyafter2006.Arelatedquestioniswhyinvestorsaresurprisedbynaturaldisasters.Afterall,someregionsintheUnitedStatesaremorevulnerabletocertainprominentdisastersthanotherarea

21、s.Traditionalassetpricingtheorypositsthatphysicalclimateriskcouldbediversifiedinamarketportfolioandthus,thepricesofexposedfirms(and,inturn,theircostofcapital)shouldnotchangefollowingadisaster.Wecontendthatthisnullhypothesisisnotsupportedempirically,becausenaturaldisasterscannotbeperfectlypredicted(R

22、ehseetal.2019)and,asclimatescientistsshow,climatechangehasfurtherexacerbatedanypredictability.3Withourdetaileddataonfirmgeography,weshowinSection3thatthereisalargedegreeofuncertaintyinthedistributionofbothprominentandnonprominentdisastersinagivenarea(e.g.zuncertaintyaboutthelikelihoodofoccurring,tim

23、ing,andthepotentialdollardamages).Therandomnessofdisasterdistributionssuggeststhatgeographicdiversificationofbusinesslocationscouldnothelpafirmtoavoiddisasterscompletely,becausethereisachancethatthefirmsestablishmentswillbehitbydisastersatsomepointintimeinthefuture.Toexaminehowfirmscanmitigatethesel

24、lingpressureontheirstocksandbondswhentheyareexposedtodisasters,weexplorewhetherinvestors*reactionisconditionalonafirmsenvironmentalprofile.Wefindthatthesellingpressureislesspronouncedamongfirmswithahighenvironmentalscore(EScore)fdespitethefactthatbothhigh-andIow-EScorefirmssufferedanequallossinestab

25、lishmentsalesafterdisasters.4Consistently,firmswithmoresustainability-orientedandlong-terminstitutionalinvestorsalsoexperiencelowersellingpressurefollowingdisasters.Theseresultsareconsistentwiththenotionthat,becauseinvestorshavenonpecuniarymotiveswheninvestinginhigh-EScorefirms(Bakeretal.2018,Hartzm

26、arkandSussman2019,Barberetal.2021),theyimposealowerpenaltyonthesefirmsstocksandbondswhenthefirmsareexposedtodisasters.Thesefindingsalsohaveimportantimplicationsforpolicymakers,whowishtoemphasizethebenefitsofcorporateinvestmentinenvironmentalprofiles:itpaysoffwhentheconsequencesofclimatechangearemate

27、rialized.Inthenextsection,weoutlineourcontributionstotheclimatefinanceliteratureanddevelopourhypotheses.Section3describesourdataandsampleselection.InSection4,wereportthemainempiricalresults,robustnessanalyses,andtestsofalternativeexplanations.WeconcludeinSection5.2. Related1.iteratureandHypotheses2.

28、1.ABriefReviewofRelated1.iteratureandContributionsOurstudycontributestoaburgeoningclimatefinanceliteraturethatexaminestheeffectsofclimatechangerisksonfirms,andinparticular,theassetpricingimplicationsoftheserisks.Astrandofthisliteraturestudiescarbonrisk,socialcostsofcarbonemissions,andthereturnpremiu

29、mofcarbon-intensivefirms(Barnettetal.2020;BoltonandKacperczyk2020z2021;Choietal.2020;Hsuetal.2020;Ilhanetal.2021).Otherstudiesexaminetheeffectsofclimateregulatoryriskandtherelationbetweenfirmriskandenvironment,social,andgovernance(ESG)(deGreiffetal.2018,Dunnetal.2018,Hoepneretal.2020zSeltzeretal.202

30、0).Demandsforhedgingagainstclimateriskcanalsoaffectassetprices(Engleetal.2020,HuynhandXia2021).Ourstudyisrelatedtothestrandofclimatefinanceliteraturethatexaminesphysicalclimateriskintheformofextremeclimaticevents.Hongetal.(2019)findthatinternationalmarketsunderreacttothelong-termtrendsindroughts.Alo

31、ketal.(2020)showthatmutualfundmanagerslocatednearadisasterzoneunderweightdisaster-pronestocks.Otherstudiesexaminep2J3saISIqcnp-SlUoQSnUoSJodJo工ZT90rtzoeqQJnZICc-Zocz-Z,二ZlKq8JoSIUJO一WulojJPUPEOWMoatheeffectsofextremeclimaticeventsonfirmsdrawingofbankcreditlines(Brownetal.2021),insurancefirms(Massaan

32、dZhang2021)zcorporatecashholdings(DessaintandMatray2017),manufacturingfirms,performance(Hsuetal.2018),andsupplychains(BarrotandSauvagnat2016).5Althoughtheliteraturehasstudiedthepricingofclimateriskinvariousassetclasses,thereisadearthofresearchthatestimatestheeffectsofafirmsdirectexposuretodisasterso

33、nbothstockandcorporatebondreturns,whicharethetwomajorcomponentsofthefirm,scapitalstructure.6Ourstudyaimstofillthisvoidbyusingacomprehensivedatasetonestablishment-levellocationstoidentifyafirm,sexposuretonaturaldisastersatthecountylevel.Thisidentificationisimportantbecauseafirmsmainbusinessoperations

34、typicallyhappenatestablishments.Becausestocksandcorporatebondsareissuedbytheexposedfirm,ifdisastersaffectthefirm,thenbothstockandbondpricescouldreacttotheseimpacts.Furthermore,bondsaremainlyheldbyinstitutions(Baietal.2019),whoareincreasinglyconcernedaboutclimaterisk(Ilhanetal.2020,Kruegeretal.2020).

35、Totheextentthatinstitutionsdrivethemarketreactiontodisasters,weshouldexpectthattheeffectisalsopresentinbonds,therebyofferinganotherlaboratorytotestourhypothesis.Wealsocontributetotheliteraturebyshowingthatexposedfirmswithhigh-EScoreorhighsustainability-orientedinstitutioalownershipexperiencelowersel

36、lingpressure.Incontrast,thesellingpressureisgreaterforexposedfirmswithhightotalinstitutionalownership.Theseresultsdeepenourunderstandingoftheroleoffinancialinstitutionsinpricingphysicalclimaterisk.2.2. HypothesesOurstudyexaminestheeffectofdisastersonfirms?stockandbondreturns.Becausedisasterscouldabr

37、uptlyaffectafirmsbusinessoperations,theadverseimpactofdisasterscouldcauseinvestorstocommandahigherexpectedreturnonexposedfirms(therisk-compensationhypothesis).Alternatively,investorscouldoverreacttothedisasterimpactbydepressingtheexposedfirm,sstockandbondprices.Aspricesdropbelowthefundamentalvalue,t

38、heyreboundinthefollowingmonth(theoverreactionhypothesis).Bothhypothesesleadtothefollowingprediction.Hypothesis1.Therelationbeteendisastersandone-month-aheadreturnsonstocksandbondsofexposedfirmsispositive.Thetwoexplanations(overreactionandrationalrisk-compensationhypotheses)arenotnecessarilymutuallye

39、xclusive.Ournexthypothesesattempttoprovideindicationsastowhichexplanationislikelytoplayalargerrole.Thetrueimpactofdisasters(thelossoffundamentalvaluesbecauseofdisasters)cannotbeimmediatelyobserved.However,asCovalandStafford(2007)andotherssuggest,theexpostdeviationbetweenpricesandfundamentalvaluescan

40、provideuswithanindicationofoverreaction(i.e.,significantreturnreversalsafterdisasters).IfHypothesis1isdrivenbyinvestors*overreaction,thenweexpectthatthecontemporaneousreturnontheexposedfirminthemonthofdisasterswillbelower,asitreflectstheoversellingactivityofinvestors(DeBondtandThaler1985).Wethusstat

41、ethesecondhypothesis,asfollows.Hypothesis2.Ifinvestorsoverreacttodisasters,thenthecontemporaneousrelationbetzeenstock(bond)returnsanddisastersisnegative.Wealsoexaminethelong-runreturndifferentialbetweenexposedandunexposedfirms.IftherelationinHypothesis1continuesinthelongrun,thenitsuggeststhatinvesto

42、rsupdatetheirbeliefabouttheclimateriskofexposedfirms,causingthepremiumonexposedfirmstobehigherthanunexposedfirms.Suchacontinuationinreturndifferentialwouldbemoreconsistentwiththerisk-compensationhypothesis.Anotherwaytodeterminewhetherpricesaredepressedbeyondthefundamentalvalueistoexamineinsidertradi

43、ngactivities.RozeffandZaman(1998)and1.ou(2014)positthat,becauseinsidershavesuperiorknowledgeabouttheirownfirms,insidertradingrevealswhethertheseinsidersbelievetheirstockpricesareundervaluedwithouttheneedtomeasurethelosstofundamentalsbecauseofdisasters.Specifically,ifstockpricesareoverlydepressed,the

44、ninsidersarebetteroffpurchasingtheirownsharesandtakeadvantageofthetemporarymisvaluation(Hongetal.2008).Ontheotherhand,ifinsidersbelievethatstockpricesjustifiablyreflectthelossoffirmfundamentalsbecauseofdisasterimpacts,thenwedonotexpecttoseeachangeintheirtradingactivity.Hypothesis3.Ifinvestorsoverrea

45、cttodisasters,theninsiderssharePUrchaSeSincreasewhentheirfirmisexposedtodisasters.Theeffectofdisastersonreturnscoulddependoninvestors*attentiontoclimatechange.Priorstudies(Kruegeretal.2020,SchlenkerandTayIor2021)suggestthatinvestorsbegantopayattentiontoclimatechangeriskssincetheearly2000s.Wetherefor

46、eexpectthattheeffectofdisasterswouldbemorepronouncedinthelateryearsofoursampleperiod.Painter(2020)suggeststhatthepublicationoftheStemReviewin2006isagoodcandidateeventtotestthisattentioneffect.TheSternReviewwasthefirstofitskindtoquantifythecoststoaddressclimatechangeanditsimpactontheglobaleconomy(Ste

47、m2007).Itattractedextensivemediacoveragearoundtheworldandarousedpublicattentiontoglobalwarming.Indeed,p2J3saISIqcnp-SlUoQSnUoSJodJo工ZT90rtzoeqQJnZICc-Zocz-Z,二ZlKq8JoSIUJO一WulojJPUPEOWMoaPainter(2020)findsthatGooglesearchvolumeforclimatechangeincreasedsignificantlyafterthereleaseoftheSternReviewandth

48、atthepricingofclimateriskinthemunicipalbondmarketissignificantonlyafter2006.Assuch,weconjecturethatinvestors*overreactiontodisasterswouldbemorepronouncedafter2006.If,however,rationalinvestorsdominatethepricingofdisasters,thentherisk-compensationhypothesiswouldpredicttheeffectofdisastersonreturnstobe

49、significantevenbefore2006.Hypothesis4.Theeffectofdisastersonstockandbondreturnsismorepronouncedafter2006.Takentogether,Hypotheses2-4zifsupported,suggestthattheeffectofdisastersonstockandbondreturnsisnotpurelydrivenbytheadverseimpactofdisastersonfirmsfundamentals.Investorshaveheterogenouspreferencestowardsustainability.HongandKacperczyk(2009)s