モリモト　ケイイチ   MORIMOTO KEIICHI   盛本　圭一    所属   明治大学  政治経済学部    職種   専任准教授
発表年月日	2021/07/02
発表テーマ	Ambiguity, sector specific disasters, and asset prices during COVID-19 pandemic
会議名	the 2021 China Meeting of the Econometric Society
主催者	the School of Entrepreneurship and Management at ShanghaiTech University
学会区分	国際学会
発表形式	口頭（一般）
単独共同区分	単独
開催期間	2021/07/01～2021/07/03
概要	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.