Stock liquidity and firm-level political risk

被引：21

作者：

Das, Kuntal K. ^{[1
]}

Yaghoubi, Mona ^{[1
]}

机构：

[1] Univ Canterbury, Dept Econ & Finance, Christchurch, New Zealand

来源：

FINANCE RESEARCH LETTERS | 2023年 / 51卷

关键词：

Stock liquidity; Political risk; POLICY UNCERTAINTY; INFORMATION; SENTIMENT; RETURNS; CYCLES; MARKET; PRICE;

D O I：

10.1016/j.frl.2022.103419

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Exploiting a novel measure of firm-level political risk based on earnings conference calls, we examine the effect of firm-level political risk on stock liquidity. We show that liquidity decreases significantly more in firms that are exposed to political risk. An increase in firm-level political risk by one standard deviation lowers liquidity by around 3.64%. We further investigate whether the effect of firm-level political risk on stock liquidity can be mitigated or exacerbated by the political environment of the U.S. economy and find some evidence of the Democratic liquidity premium. Our results are robust to alternative measures of (il)liquidity, and an estimation method.

引用

页数：10

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