When bad news is good news: Geopolitical risk and the cross-section of emerging market stock returns

被引：68

作者：

Zaremba, Adam ^{[1
,2
]}

Cakici, Nusret ^{[3
]}

Demir, Ender ^{[4
,5
]}

Long, Huaigang ^{[6
]}

机构：

[1] Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier 4, France

[2] Poznan Univ Econ & Business, Inst Finance, Dept Investment & Financial Markets, Al Niepodleglosci 10, PL-61875 Poznan, Poland

[3] Fordham Univ, Gabelli Sch Business, 45 Columbus Ave,Room 510, New York, NY 10023 USA

[4] Reykjavik Univ, Sch Social Sci, Dept Business Adm, Menntavegur 1,102, IS-101 Reykjavik, Iceland

[5] Istanbul Medeniyet Univ, Dumlupinar D100karayolu 98, TR-34720 Kadikoy, Turkey

[6] Zhejiang Univ Finance & Econ, Sch Finance, 18 Xueyuan St, Hangzhou, Zhejiang, Peoples R China

来源：

JOURNAL OF FINANCIAL STABILITY | 2022年 / 58卷

关键词：

Geopolitical Risk Index; The cross-section of stock returns; Emerging markets; Equity anomalies; Asset pricing; Return predictability; Overreaction; Availability heuristic; Salience; IDIOSYNCRATIC VOLATILITY; FINANCIAL-MARKETS; EXPECTED RETURNS; CAPITAL-MARKETS; POLITICAL RISK; TAIL RISK; MOMENTUM; UNCERTAINTY; TERRORISM; BEHAVIOR;

D O I：

10.1016/j.jfs.2021.100964

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using a news-based gauge of geopolitical risk, we study its role in asset pricing in global emerging markets. We find that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical uncertainty outperform their counterparts with the lowest change by up to 1% per month. The anomaly is not explained by other established asset pricing effects and remains robust to many considerations. We link the observed phenomenon with investor overreaction to geopolitical news driven by the availability bias.

引用

页数：19

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