Please use this identifier to cite or link to this item: http://hdl.handle.net/11718/26519
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dc.contributor.authorSrivastava, Pranjal-
dc.contributor.authorJacob, Joshy-
dc.date.accessioned2023-06-02T06:30:03Z-
dc.date.available2023-06-02T06:30:03Z-
dc.date.issued2022-10-06-
dc.identifier.citationSrivastava, Pranjal & Jacob, Joshy (2022). Risk information - normal markets and the COVID-19 pandemic period. IIM Ahmedabad.en_US
dc.identifier.urihttp://hdl.handle.net/11718/26519-
dc.description.abstractThe 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 timesen_US
dc.language.isoen_USen_US
dc.publisherIndian Institute of Management Ahmedabaden_US
dc.subjectRisk informationen_US
dc.subjectArnings announcementsen_US
dc.subjectCOVID-19en_US
dc.subjectDiscount rateen_US
dc.subjectAsset pricingen_US
dc.titleRisk information - normal markets and the COVID-19 pandemic perioden_US
dc.typeWorking Paperen_US
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