In this paper, I examine the impact of major hurricanes on the stock returns of U.S. firms, by employing a two-way fixed effects model. For the analysis, eight major and most destructive hurricanes in the years between 2010 and 2019 were selected. The results show that hurricanes have a negative effect on stock returns of affected firms, compared to those that are not affected. Furthermore, I observe different effects within various industries – some show a negative effect, whereas others a positive or no significant effect at all. Additionally, I find that hurricanes not only impact stock returns on the day of the landfall, but dynamic effects around the landfall day can be observed as well. Lastly, I find the effect of hurricanes on stock returns to be most pronounced for smaller firms.
Date of Award | 24 Jan 2022 |
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Original language | English |
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Awarding Institution | - Universidade Católica Portuguesa
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Supervisor | Geraldo Cerqueiro (Supervisor) |
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- Panel data
- Two-way fixed effects
- Natural disasters
- Stock market
The stock market response to major hurricanes: empirical evidence from the U.S.
Honigbaum, J. C. (Student). 24 Jan 2022
Student thesis: Master's Thesis