Partisan Return Gap: The Polarized Stock Market in the Time of a Pandemic
研究发现疫情期间，民主党投资者偏好的股票与共和党投资者偏好的股票之间存在显著回报差异，党派政治信念是理解异常股票回报的新因素。
Using two proxies for investors’ political affiliation, we document sharp differences in stock returns between firms likely dominated by Democratic investors (blue stocks) and those dominated by Republican investors (red stocks) during the COVID pandemic. Red stocks have 20 basis points higher risk-adjusted returns than blue stocks on COVID news days (Partisan Return Gap). Lockdown policies, COVID cases, industry and firm fundamentals only explain at most 40% of the return gap. Polarized political beliefs about COVID, revealed through people’s social distancing behavior, contribute to about 40% of the return gap beyond the fundamental channel. Our paper provides partisanship as a novel aspect in understanding abnormal stock returns during the pandemic. This paper was accepted by Lukas Schmid, finance. Supplemental Material: The data and e-companion are available at https://doi.org/10.1287/mnsc.2023.4913 .