MORIMOTO KEIICHI    Department   Undergraduate School  , School of Political Science and Economics    Position   Associate Professor
Date	2021/07/02
Presentation Theme	Ambiguity, sector specific disasters, and asset prices during COVID-19 pandemic
Conference	the 2021 China Meeting of the Econometric Society
Promoters	the School of Entrepreneurship and Management at ShanghaiTech University
Conference Type	International
Presentation Type	Speech (General)
Contribution Type	Individual
Holding period	2021/07/01～2021/07/03
Details	In United States and Japan during the coronavirus disease 2019 pandemic recession, although overall stock prices rose, there were significant variations in the cross-sectional stock returns. In order to explain this phenomenon, we extend a standard consumption-based asset pricing model in the following two aspects. First, due to the deep uncertainty caused by the pandemic, investors have to evaluate the expected duration of the pandemic subjectively. Second, the pandemic have heterogeneous impacts among multiple production sectors. These features generate strong demand for assets in the event of a pandemic, pushing up average stock prices. At the same time, stock prices soar in sectors where demand is stimulated due to the pandemic, but stagnate in those where demand is reduced.