Longevity Shocks and Household Portfolios
Abstract I study whether households adjust their financial portfolios in response to longevity shocks. Using the representative US household-level panel data from the PSID and life tables, I show that negative age-specific longevity shocks are associated with a reduction of risky asset share in the household portfolios. To identify causal effects, I draw on the ongoing opioid epidemic to explore the impact of negative life expectancy shocks on the portfolio allocation of households. Employing difference-in-differences, I document a negative relationship between opioid deaths growth rates and shares of assets households invest in risky assets.
2024
09/2024 51st Seminar of the European Group of Risk and Insurance Economists (EGRIE) 2024, Hamburg, Germany
08/2024 American Risk and Insurance Association Annual Meeting (ARIA) 2024, Denver, USA
06/2024 Swiss Finance Institute (SFI) Research Days 2024, Gerzensee, Switzerland
04/2024 Ageing and Sustainable Finance Conference, ZEW Mannheim, Germany
2023
09/2023 50th Seminar of the European Group of Risk and Insurance Economists (EGRIE) 2023, Malaga, Spain
06/2023 Swiss Finance Institute (SFI) Research Days 2023, Gerzensee, Switzerland
2022
09/2022 49th Seminar of the European Group of Risk and Insurance Economists (EGRIE)
03/2022 Tagung Deutscher Verein für Versicherungswissenschaft (VfVW e.V.) 2022, Virtual Meeting
2021
09/2021 German Finance Association, 2021, Innsbruck, Austria
03/2021 Tagung Deutscher Verein für Versicherungswissenschaft (VfVW e.V.) 2021, Virtual Meeting
2020
08/2020 World Risk and Insurance Economics Congress (WRIEC) 2020, Virtual Meeting
Extreme Weather Risk and the Cross-Section of Stock Returns (with Alexander Braun and Florian Weigert)
Abstract We examine if extreme weather exposure impacts firms’ cost of equity. Motivated by a consumption-based asset pricing model with heterogeneous agents, we show that there exists a premium for a stock’s extreme weather exposure in the cross-section of returns. In the period from 1995 to 2019, domestic stocks with a high sensitivity to thunderstorm losses earn higher risk-adjusted returns of 6.3% p.a. than stock with a low sensitivity to thunderstorm losses. This premium can neither be explained by risk factors from standard asset pricing models nor by firm characteristics. Our results reveal a novel link between climate risk and firm value.
Housing Choice and Wealth Accumulation (with Annika Schürle and Alexander Braun)
Abstract We examine the impact of extended periods of low interest rates on homeownership rates and the subsequent implications for both intra- and inter-generational distribution of wealth. Using survey data from the Panel Study of Income Dynamics from 1984 until 2019, we find that phases of lower long-term interest rates coincide with a reduction in homeownership rates. Opting out of participation in the housing market bears adverse effects on the wealth accumulation trajectory of households throughout their life cycles. Based on our empirical findings, we have formulated a life cycle model that integrates housing and mortgage choices. Our model posits that a decline in interest rates can influence the decision to embark on home purchases by extending the time needed to amass a specific downpayment level. Ultimately, this leads to a postponement in home acquisition.
Die Auswirkungen von Naturkatastrophen auf Aktienmärkte, Alexander Braun, Julia Braun and Florian Weigert (2022), I.VW Management-Information