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War discourse and global equity returns

Author

Listed:
  • Wang, Jiazhen
  • Fang, Yvonne
  • Hu, Xiaolu
  • Zhong, Angel

Abstract

This study investigates the asset pricing implications of war risks in global stock markets. We employ a novel war discourse index developed by Hirshleifer et al. (2023a), which captures market attention to war through news. Extending this approach to both developed and emerging markets, we uncover a significantly positive relation between war risks and global stock market excess returns, which is robust to a range of sensitivity checks. Our findings indicate that investor attention to war risks significantly influences equity premium in global markets.

Suggested Citation

  • Wang, Jiazhen & Fang, Yvonne & Hu, Xiaolu & Zhong, Angel, 2024. "War discourse and global equity returns," Finance Research Letters, Elsevier, vol. 69(PA).
    • Handle: RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324010985
    DOI: 10.1016/j.frl.2024.106068
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    More about this item

    Keywords

    Rare disasters; International stock markets; Return predictability; War discourse; Textual analysis; News media; Investor attention;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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