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- W3134222087 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." @default.
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- W3134222087 date "2020-01-01" @default.
- W3134222087 modified "2023-09-24" @default.
- W3134222087 title "Pandemic Tail Risk" @default.
- W3134222087 hasPublicationYear "2020" @default.
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