Cross-country analysis of the effects of political uncertainty on stock price informativeness
利用49个国家2000-2020年面板数据，发现选举前和选举期间政治不确定性降低股价信息含量，但非选举年股价信息更充分；制度质量可缓解该负面效应，且影响在受监管与不受监管行业存在差异。
We examine the effects of political uncertainty on the informativeness of stock prices. Using panel data from 49 countries and 441,882 firm-year observations from 2000 to 2020, our results evince several interesting aspects. First, we find that, whereas political uncertainty reduces stock price informativeness in the year prior to elections and during the elections, stock prices tend to be more informative in non-election years. Second, we find that the sensitivity of stock price informativeness to political uncertainty is reduced by the strength of institutional quality. Third, the effects of political uncertainty appear to be heterogeneous across less/unregulated and regulated industries. Lastly, our channel analysis indicates that during the year of elections, firms tend to disclosure less information thereby exerting a negative impact on stock price informativeness. Our results are robust to the system generalized method of moments (SGMM), difference-in-difference, and alternative specifications.