Economic policy uncertainty, risk perception and stock price crash risk: Evidence from China

Xiaojun Liu, Yong Ma and Zhongyue Xu

Economic Analysis and Policy, 2024, vol. 82, issue C, 865-876

Abstract: This paper investigates the moderating role of the macroeconomic environment in the crash risk-policy uncertainty sensitivity. We find that managers have lower risk perception and crash risk is less sensitive to policy uncertainty during periods of economic expansion. Managers’ risk perception is the critical channel through which the macroeconomic environment affects the relationship between crash risk and policy uncertainty. Consequently, when firms’ managers have an accurate understanding of the future economic environment, the moderating effect of economic growth is lower. This manifests in the weaker moderating effect of economic growth for SOEs and firms with stronger managerial ability, lower managerial ownership, and high media attention, which further supports the risk perception channel.

Keywords: Economic policy uncertainty; Risk perception; Macroeconomic environment; Crash risk (search for similar items in EconPapers)
JEL-codes: F43 G12 G38 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:82:y:2024:i:c:p:865-876

DOI: 10.1016/j.eap.2024.04.013

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