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    Financial Markets in the Face of the Apocalypse (2016)

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    http://hdl.handle.net/10092/12488
    Publisher
    University of Canterbury. Department of Economics and Finance
    Collections
    • Business and Law: Conference Contributions [278]
    • Working Papers in Economics [142]
    Authors
    Bialkowski, J., Ronn E.show all
    Abstract

    This paper brings together two strands of the literature: Quantifying the impact of apocalyptic risk on capital markets, and the correct computation of the equity risk premium. For the former, we use events in four countries during the Second World War to discern markets' incorporation of information regarding the probability of an Armageddon for each country. We then turn to analyzing the impact of a political col- lapse on the correct computation of the equity risk premium. Arguing that past computations did not properly account for the nancial implications of political collapse on prop- erty/civil/human rights, we argue past calculations overstated the equity risk premium. We provide a correct estimate of the equity risk premium, demonstrating the important changes in this estimate over time.

    Citation
    Bialkowski J., Ronn E., (2016) Financial Markets in the Face of the Apocalypse. Queenstown, New Zealand: 20th Annual New Zealand Finance Colloquium, February 11-12, 2016.
    This citation is automatically generated and may be unreliable. Use as a guide only.
    Keywords
    rare ("black swan") events; equity premium; international political crises; property; civil and human rights; World War II
    ANZSRC Fields of Research
    38 - Economics::3801 - Applied economics::380107 - Financial economics
    14 - Economics::1402 - Applied Economics::140210 - International Economics and International Finance
    Rights
    https://hdl.handle.net/10092/17651
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