The impacts of political uncertainty on asset prices: Evidence from the Bo scandal in China

被引：218
|
作者：
Liu, Laura Xiaolei [1 ,2 ]
Shu, Haibing [3 ]
Wei, K. C. John [4 ]
机构：
[1] Peking Univ, Guanghua Sch Management, Dept Finance, 5 Yiheyuan Rd, Beijing 100871, Peoples R China
[2] Peking Univ, Guanghua Sch Management, Dept Accounting, 5 Yiheyuan Rd, Beijing 100871, Peoples R China
[3] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Dept Finance, 1954 Huashan Rd, Shanghai 200030, Peoples R China
[4] Hong Kong Polytech Univ, Sch Accounting & Finance, Fac Business, Kowloon, Hong Kong, Peoples R China
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2017年 / 125卷 / 02期
关键词：
Political uncertainty; Politically sensitive firms; Stock returns; Discount rate news; Cash flow news; ECONOMIC-POLICY UNCERTAINTY; STOCK RETURNS; CROSS-SECTION; MARKET; INVESTMENT;
D O I：
10.1016/j.jfineco.2017.05.011
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Models of political risk predict that increases in political uncertainty cause stock prices to fall, especially for politically sensitive firms. We use the event of the Bo Xilai political scandal in 2012 in China as an exogenous shock to identify the impact of political uncertainty on asset prices. We document that the Bo scandal caused a significant drop in stock prices, especially for firms that are more politically sensitive. Further analysis shows that the stock price drop is mainly driven by a change in discount rate, providing strong support for the existence of priced political risk. (C) 2017 Elsevier B.V. All rights reserved.
引用
收藏
页码：286 / 310
页数：25
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