Item Summary

Abstract “The paper investigates how the market infers changes in the firm-level discount rate (risk information) in normal and turbulent times. The study focuses on two key sources of risk information, earnings announcements of firms and changes in the market risk premium. We employ a recently proposed measure that limits the impact of event risk while estimating the forward-looking risk information from option prices. We find that both earnings announcements and the changes in market risk impact firm-level discount rates, but both sources exhibit a significant time variation. The impact of market risk changes is lower in favorable conditions and higher during crisis periods. Using COVID- 19 as an exogenous shock, we show that the influence of earnings announcements becomes insignificant during a crisis. The results suggest lower attention to firm- specific risk factors in times of a systemic crisis, in contrast to normal times.” "Key words: Risk information, earnings announcements, COVID-19, discount rate, asset pricing"

Descriptive Information

Title
Risk information - normal markets and the COVID-19 pandemic period
Sort Title
risk information - normal markets and the covid-19 pandemic period
Creator of work
Srivastava, Pranjal
Contributor
Jacob, Joshy
Publisher
Ahmedabad : Indian Institute of Management Ahmedabad
Language
English
Date Created
2022
Format
Reports
Provenance
Open-access link provided by the Library of Congress Office, New Delhi, India
Rights Statement
Copyright Not Evaluated

Discovery Information

Subject
Economics
Marketing
Health
COVID-19 (Disease)
Socioeconomic conditions and development
Economic development projects
Geographic Subject
India
Geographic Origin
India

Physical Characteristics

Page Count
58
File Count
58

Institutional Information

Collection
Born Digital Monographic Reports and Papers
Box number
Monographic Reports and Papers (Publicly Accessible)
Folder number
f49cb3fc-b331-49ae-8a1f-eabf780e3bce
Barcode
f49cb3fc-b331-49ae-8a1f-eabf780e3bce
IIIF Manifest URL

https://figgy.princeton.edu/concern/ephemera_folders/f49cb3fc-b331-49ae-8a1f-eabf780e3bce/manifest