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Saturday, February 08, 2020

Does the Coronavirus Offer a Test of the Rare Disasters Asset Pricing Model?

As the Chinese leadership uses it power to try to stop the coronavirus contagion, does this horrible event offer a test of Barro's 2006 QJE paper?   As I understand his paper,  asset prices reflect the fact that there is a positive probability of large drops in a nation's output.  To compensate investors for such low probability but dangerous risk, there has to be  an equity premium (i.e the rate of return on stocks versus safe bonds).

Here is a graph of the last 12 months of the Shanghai Index.  The index has fallen around 10% since early February 2020.  Is this an accurate representation of the expected present discounted value of lost future profits for Chinese firms going forward?