An Ex post assessment of investor response to catastrophes

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<title>Ex post assessment of investor response to catastrophes</title>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20180001611">
<namePart>Xu, Jianren</namePart>
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<dateIssued encoding="marc">2019</dateIssued>
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<extent>27 p. </extent>
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<abstract displayLabel="Summary">A large body of research has examined abnormal stock returns for insurance companies in the wake of major catastrophes. Most of these studies have investigated the ex ante factors that investors may consider when generating expectations of future profits, represented by postcatastrophe stock returns. We instead ask whether these expectations were ultimately correct by investigating the relationship between returns and the disaster's effect on future earnings. We find that returns immediately following a disaster are not associated with future earnings. Approximately six days following a catastrophe, however, returns begin to show a significant positive relationship with future earnings. This relationship becomes stronger in subsequent days. We conclude that investors are unable to correctly predict a disaster's net impact on profits immediately after a disaster because existing public information is insufficient or misunderstood. Only once insurers begin disclosing their estimated losses can investors make accurate predictions about a disaster's effect on earnings. Our study shows that the investor expectations inferred in much of the existing literature are not predictive of future profits. Our findings are consistent with semistrong-form market efficiency in the wake of a major disaster. </abstract>
<note type="statement of responsibility">Marc A. Ragin, Jianren Xu</note>
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<topic>Catástrofes naturales</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080580872">
<topic>Impacto económico</topic>
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<topic>Modelos predictivos</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080618766">
<topic>Valoración de inversiones</topic>
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
<identifier type="local">MAP20077000239</identifier>
<part>
<text>03/06/2019 Tomo 23 Número 2 - 2019 , p. 250-275</text>
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