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Firm-level political risk and stock price crashes

Author

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  • Makrychoriti, Panagiota
  • Pyrgiotakis, Emmanouil G.
Abstract
In this study, we examine the relationship between firm-level political risk and stock price crash risk. Using a broad dataset of 4230 U.S. firms, 38,097 firm-year observations from 2002 to 2019, we reveal a positive association between political risk and stock price crash risk. These findings are robust to several model specifications and endogeneity checks. By using the Brexit referendum as a quasi-natural experiment, we provide evidence of a causal relationship between political risk and crash risk. Through channel analysis, we identify that this relationship is mediated via higher idiosyncratic volatility, lower price informativeness, and higher distress risk. We also find that our results are more pronounced in intangible-intensive firms. Interestingly, we show that managers of these firms respond to political risk by engaging in bad news hoarding. Finally, strong (external or internal) corporate governance mechanisms can moderate the positive relationship between political risk and stock price crash risk.

Suggested Citation

  • Makrychoriti, Panagiota & Pyrgiotakis, Emmanouil G., 2024. "Firm-level political risk and stock price crashes," Journal of Financial Stability, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:finsta:v:74:y:2024:i:c:s1572308924000883
    DOI: 10.1016/j.jfs.2024.101303
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    More about this item

    Keywords

    Political risk; Stock price crash risk; Inventor disagreement; Agency channels; Price informativeness;
    All these keywords.

    JEL classification:

    • F23 - International Economics - - International Factor Movements and International Business - - - Multinational Firms; International Business
    • F5 - International Economics - - International Relations, National Security, and International Political Economy
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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