Welcome to the ARIA 2021 Annual Meeting Agenda App. You are seeing this in simple view. Click on any session to see Presenters, Discussants and a Session Description. Click on Presenters to find a single presenter and their sessions. If you find an error, please email gphillips@aria.org. Registrants have been added and will continue to be updated until 7/29/21 when registration closes. Zoom links will be shared directly with all participants two days prior to the conference. Please make notifications@sched.com a "safe sender" in your email system. We will be sending messages throughout the conference through this medium.
David Finer, The University of Chicago Booth School of Business
With a growing literature documenting market impacts of climate risk, I use the Cold War to shed light on the extent to which market participants price the unobserved extreme tail of a salient risk. Exploiting the natural experiment of the Cuban Missile Crisis, I find that the geographic cross-section of firms’ equity returns in response to changes in the risk of nuclear conflict is broadly consistent with their headquarters' exposures to destruction. Such discrimination is plausible given contemporary survey evidence that investors generally believed that the US could recover from a nuclear war. A calibrated model informed by survey expectations suggests that: i.) investors underreact to the potential for catastrophe; ii.) investors exhibit a far lower level of risk aversion than is typically used to fit market data; or iii.) investor heterogeneity or noise makes survey data inaccurate indicators of investors' perceived exposures to extreme risks.
