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An Exploration of the Effect of Doubt During Disasters on Equity Premiums

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  • Shiba Suzuki

Abstract

In this note, we consider the effect on equity premiums of a representative household’s subjective expectations during disasters. In particular, we focus on the effect of doubt during disasters. Our contribution is to demonstrate that doubt during disasters—even mild ones—generates high equity premiums.

Suggested Citation

  • Shiba Suzuki, 2013. "An Exploration of the Effect of Doubt During Disasters on Equity Premiums," Discussion Papers 22, Meisei University, School of Economics.
    • Handle: RePEc:mei:wpaper:22
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    References listed on IDEAS

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    1. Epstein, Larry G & Zin, Stanley E, 1991. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 263-286, April.
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    9. Abel, Andrew B., 2002. "An exploration of the effects of pessimism and doubt on asset returns," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1075-1092, July.
    10. Francois Gourio, 2008. "Disasters and Recoveries," American Economic Review, American Economic Association, vol. 98(2), pages 68-73, May.
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    Cited by:

    1. Yoshiaki Hoshino & Ryuichiro Ishikawa & Akira Yamazaki, 2013. "Unequal Distribution of Powers in a Wicksellian Transfer Game," Discussion Papers 24, Meisei University, School of Economics.
    2. Akira Yamazaki, 2013. "Production Atomless Economies," Discussion Papers 25, Meisei University, School of Economics.
    3. Cassou, Steven P. & Vázquez, Jesús, 2025. "Preference for consumption predictability and the equity premium puzzle," International Review of Economics & Finance, Elsevier, vol. 103(C).
    4. Shiba Suzuki & Hiroaki Yamagami, 2024. "On the effects of pessimism toward pollution-driven disasters on equity premiums," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 12(2), pages 167-181, December.
    5. Shiba Suzuki & Hiroaki Yamagami, 2020. "Optimism on Pollution-Driven Disasters and Asset Prices," Working Papers 2020.06, FAERE - French Association of Environmental and Resource Economists.

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    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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