THE JOURNAL OF FINANCIAL ECONOMICS·VOL.125, ISSUE.2· JUNE 2017

政治不确定性对资产定价的影响：来自中国薄书记丑闻事件的证据

作者：Liu, Laura Xiaolei (Peking University), Shu, Haibing (Shanghai Jiao Tong University), Wei, K.C. John (Hong Kong Polytechnic University)

摘要：根据模型预测，政治不确定性的增加会导致股价下跌，特别是对于政治敏感型公司。我们使用了2012年薄熙来政治丑闻作为外部冲击确定了政治不确定性对资产定价的影响。我们发现，薄书记丑闻造成了股价的显著下跌，特别是对政治敏感度较高的公司。进一步分析证明，股价下跌的主要原因是贴现率的改变，这为政治风险定价的存在提供了有力证据。

关键字：政治不确定性，政治敏感公司，股票回报率，贴现率，现金流新闻

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

Liu, Laura Xiaolei (Peking University), Shu, Haibing(Shanghai Jiao Tong University), Wei, K.C. John (Hong Kong Polytechnic University)

ABSTRACT

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.

Keywords: Political uncertainty, Politically sensitive firms, Stock returns, Discount rate news, Cash flow news

原文链接：

http://www.sciencedirect.com/science/article/pii/S0304405X17301022

翻译：吴雨玲