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Investing in war: empirical evidence of investors’ unsustainable behavior in times of armed conflict

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  • Safarova Esmira

    (Mondelez International)

Abstract

В работе исследуется влияние вооруженных конфликтов, экономических санкций и других угроз на премию за риск для обыкновенных акций, моделируемую динамически как GARCH-процесс. ERP падает до отрицательных значений в период конфликта. Результаты можно объяснить неэтичным поведением, эгоистичной мотивацией и близоруким восприятием риска инвесторами. Феномен устойчив по странам, срокам и национальным фондовым индексам, охваченным в исследовании.We investigate the impact of the armed conflicts, economic sanctions, and other threats on the equity risk premium estimated dynamically using generalized autoregressive conditional heteroskedasticity (GARCH) approach. We find that the ERP fall to negative values during period of conflict. The results could be explained by unethical behavior, selfish motivation and “myopic risk-seeking” of equity investors. This behavior is robust across all countries, periods and selected national stock indices covered in research.

Suggested Citation

  • Safarova Esmira, 2014. "Investing in war: empirical evidence of investors’ unsustainable behavior in times of armed conflict," Review of Business and Economics Studies, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 3, pages 46-54.
    • Handle: RePEc:scn:031730:15724850
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