MORIMOTO KEIICHI
Department Undergraduate School , School of Political Science and Economics Position Associate Professor |
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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. |