Time-varying rare disaster risk and stock returns

By H. Berkman, Ben Jacobsen, John B. Lee. 2011

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Geopolitical risks and the oil-stock nexus over 1899–2016 (2017, background): “Ample empirical evidence shows that economic agents and markets react to exogenous incidents – anthropogenic or natural, adjust and adapt to the broader political environment as it evolves and changes (inter alia: Pástor and Veronesi, 2013; Kaplanski and Levy, 2010; Berkman et al. 2011; Hudson and U”
Political risk and dividend policy: Evidence from international political crises (2015, unknown): “We measure political risk by global political crises, as in Berkman et al. (2011).”
Diversifying away the Risk of War and Cross-Border Political Crisis (2017, background): “This corroborates earlier findings reported in the literature (see, for example, Rigobon and Sack, 2005; Wisniewski 2009; Berkman et al., 2011).”
Disaster Risk and its Implications for Asset Pricing (2015, unknown): “Using a political science database developed for the purpose of measuring the probability of political crises, Berkman, Jacobsen, and Lee (2011) show that an increase in the probability of a political crisis has a large negative effect on world stock returns, with the effect size increasing in the…”
Measuring Geopolitical Risk (2018, background): “See for instance Barro (2006), Gourio (2008), Berkman, Jacobsen, and Lee (2011), Pindyck and Wang (2013), and Nakamura et al. (2013).”