| Full text | |
| Author(s): |
Total Authors: 3
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| Affiliation: | [1] Univ Fed Sao Paulo, EPPEN, Osasco - Brazil
[2] Sao Paulo Sch Business Adm, Fundacao Getulio Vargas, Sao Paulo - Brazil
[3] Cent Bank Brazil, Rio De Janeiro - Brazil
[4] Ibmec, Rio De Janeiro - Brazil
Total Affiliations: 4
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| Document type: | Journal article |
| Source: | ACADEMIA-REVISTA LATINOAMERICANA DE ADMINISTRACION; v. 32, n. 2, p. 244-266, 2019. |
| Web of Science Citations: | 0 |
| Abstract | |
Purpose Managing the risks associated to world food production is an important challenge for governments. A range of factors, among them extreme weather events, has threatened food production in recent years. The purpose of this paper is to analyse the impact of extreme rainfall events on the food industry in Brazil, a prominent player in this industry. Design/methodology/approach The authors use the AR-GARCH-GPD hybrid methodology to identify whether extreme rainfall affects the stock price of food companies. To do so, the authors collected the daily closing price of the 16 food industry companies listed on the Brazilian stock exchange (B3), in January 2015. Findings The results indicate that these events have a significant impact on stock returns: on more than half of the days immediately following the heavy rain that fell between 28 February 2005 and 30 December 2014, returns were significantly low, leading to average daily losses of 1.97 per cent. These results point to the relevance of the need for instruments to hedge against weather risk, particularly in the food industry. Originality/value Given that extreme weather events have been occurring more and more frequently, financial literature has documented attempts at assessing the economic impacts of weather changes. There is little research, however, into assessing the impacts of these events at corporate level. (AU) | |
| FAPESP's process: | 14/26003-9 - Financial innovation for natural disaster risk management in Brazil |
| Grantee: | Wesley Mendes-Da-Silva |
| Support Opportunities: | Research Program on Global Climate Change - Regular Grants |