War discourse and global equity returns

Jiazhen Wang, Yvonne Fang, Xiaolu Hu and Angel Zhong

Finance Research Letters, 2024, vol. 69, issue PA

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.

Keywords: Rare disasters; International stock markets; Return predictability; War discourse; Textual analysis; News media; Investor attention (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324010985

DOI: 10.1016/j.frl.2024.106068

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