Policy uncertainty exposure and market value: Evidence from China

Zhenyi Yang, Yiwei Yu, Yubing Zhang and Sili Zhou

Pacific-Basin Finance Journal, 2019, vol. 57, issue C

Abstract: Economic policy uncertainty under political opaqueness imposes great impact in the capital market. We construct ex ante firm exposure to China Economic Policy Uncertainty (CEPU) index from Baker et al. (2016). This measure of policy uncertainty exposure is significantly and negatively predictive to firm's market value and Tobin's Q, suggesting that high level of policy exposure causes significant value destruction in the capital market. The effect is more pronounced when the political opaqueness is higher. The analysis of influence channels shows that the negative effects are stronger for firms operating in less liberated market, with more policy-dependent business, unfavorable competitive status and poor corporate governance.

Keywords: Economic policy uncertainty exposure; Firm value; Corporate governance; China; Marketization; Competitiveness (search for similar items in EconPapers)
JEL-codes: D80 G10 G18 G32 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X1930126X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x1930126x

DOI: 10.1016/j.pacfin.2019.101178

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().