---
title: Sovereign Debt & Equity Returns in Disasters
url: https://www.ml-quant.com/papers/ssrn/4474659/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4474659
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4474659
featured: 2023-06-14
citations: unknown
topic: Macro-Finance & Rates
---


# Sovereign Debt & Equity Returns in Disasters

Firms with high exposure to sovereign debt have increased comovement with the market during disasters.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4474659
- Identifier: SSRN 4474659
- Released: 2020-04-10
- First featured: Quant Letter No. 4 (2023-06-14): https://www.ml-quant.com/issues/2023-06-14/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Macro-Finance & Rates

## Related

- [The Shape of Business Cycles: A Cross-country Analysis of Friedman’s Plucking Theory](https://www.ml-quant.com/papers/arxiv/2306.01552/): Flexible labor markets lead to cyclical unemployment rates in line with Friedman's plucking theory. Output recoveries differ across countries and sectors, with construction-driven recessions being more persistent.
- [Post-COVID inflation and the monetary policy dilemma: an agent-based scenario analysis](https://www.ml-quant.com/papers/arxiv/2306.01284/): A new modelling approach using the Mark-0 Agent-Based Model explores the impact of regulatory policies on inflationary dynamics resulting from COVID-19-related shocks.
- [The disruption index is biased by citation inflation](https://www.ml-quant.com/papers/arxiv/2306.01949/): Scientific publications and patents are not becoming less disruptive over time, but rather the reported decrease in disruptiveness is due to systematic shifts in citation networks.
- [Macroeconomic Effects of Inflation Targeting: A Survey of the Empirical Literature](https://www.ml-quant.com/papers/arxiv/2305.17474/): Review of literature on inflation targeting finds no convincing evidence of superior macroeconomic benefits compared to alternative strategies.
- [Optimal Investment with Stochastic Interest Rates and Ambiguity](https://www.ml-quant.com/papers/arxiv/2306.13343/): Study finds investors hedge risk but not ambiguity in dynamic asset allocation.
- [Deep Learning for Corporate Bonds](https://www.ml-quant.com/papers/ssrn/4527372/): A U.S. corporate bonds market asset pricing model shows that maximizing the Sharpe ratio performs better for individual bonds, with significant excess returns shown in out-of-sample annual SDF portfolio Sharpe ratios.