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IAQF-Thalesians Seminar (New York) — Dr. Harrison Hong — Climante Risks and Market Efficiency

Harrison G. Hong

Harrison G. Hong


Wednesday, June 14, 2017:


NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY



Climate science finds that the trend towards higher global temperatures exacerbates the risks of droughts. We investigate whether the prices of food stocks efficiently discount these risks. Using data from thirty-one countries with publicly-traded food companies from 1985 to 2014, we rank these countries at the end of each year based on their long-term trends toward droughts using the Palmer Drought Severity Index. A poor trend ranking for a country forecasts relatively poor profit growth for the food companies in that country. It also forecasts relatively poor food stock returns in that country, even adjusting for a variety of risk benchmarks. This excess return predictability is consistent with food stock prices underreacting to climate change risks.

(Joint work with Frank Weikai Li, Hong Kong University and Jiangmin Xu, Guanghua School of Management)


Dr. Harrison Hong is Professor of Economics at Columbia University. He was previously the John Scully ’66 Professor of Economics and Finance at Princeton University until July 2016. He received his B.A. in economics and statistics with highest distinction from the University of California at Berkeley in 1992 and his Ph.D. in economics from M.I.T. in 1997. His work has covered diverse topics, including behavioral finance and market efficiency, agency and biased decisions, organizational diseconomies and performance, social interaction and investor behavior, and social responsibility and the stock market In 2009, he was awarded the Fischer Black Prize, given once every two years to the best American finance economist under the age of 40. He is a research associate at the National Bureau of Economic Research and currently an editor of the International Journal of Central Banking. He has been an associate editor at the Journal of Finance, Journal of Financial Intermediation and a Director of the American Finance Association.

IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.

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