Data di Pubblicazione:
2020
Abstract:
This paper shows that tail risk in US equity markets increased in advance of the COVID-19 outbreak in February 2020. While tail risk of the market index did not move much before the outbreak, we document that tail risk of less pandemic-resilient economic sectors boomed in advance. This result is robust to alternative specifications of tail risk, measured from either option or credit default swap contracts. Long-horizon tail risk measures provide information about investors' perception of pandemic risk persistence and economic recovery.
Tipologia CRIS:
02A-Contributo in volume
Elenco autori:
Matthijs Breugem; Raffaele Corvino; Roberto Marfe'; Lorenzo Schoenleber
Link alla scheda completa:
Titolo del libro:
Carlo Alberto Notebooks
Pubblicato in: