Booster or stabilizer? Economic policy uncertainty: New firm-specific measurement and impacts on stock price crash risk

被引：20
|
作者：
Wang, Liang [1 ]
Wang, Qikai [1 ]
Jiang, Fan [2 ]
机构：
[1] Shanghai Univ Finance & Econ, Coll Business, Shanghai 200433, Peoples R China
[2] Jiangxi Univ Finance & Econ, Sch Int Econ & Trade, Nanchang 330013, Jiangxi, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2023年 / 51卷
关键词：
Firm-specific economic policy uncertainty; Stock price crash risk; Asset irreversibility; Agency cost;
D O I：
10.1016/j.frl.2022.103462
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We employ text-based tools to construct a new measurement of firm-specific economic policy uncertainty (FEPU, hereafter): the share of sentences related to EPU in management discussion and analysis (MD&A, hereafter). Our measure enables us to exploit the wide range of variation in actual and perceived EPU across firms and over time. Linking our FEPU to stock price crash risk shows that FEPU negatively affects stock price crash risk, which still holds after addressing endogeneity problem, and varies across firms' ownership and asset irreversibility. We extend extant research on impacts of EPU by capturing time-varying firms' exposures to EPU.
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页数：10
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