Migration fear and stock price crash risk
研究发现移民恐惧指数每上升10个百分点，未来股价崩盘风险增加17到19个百分点，且对信息不对称严重、监督机制弱的公司影响更大。
We examine whether migration fear increases future stock price crash risk. We find that a 10 percentage point increase in the migration fear index increases the future stock price crash risk by 17 to 19 percentage points. Our results hold after controlling for macroeconomic conditions, including economic policy uncertainty, and using instrumental variables to address endogeneity issues. The impact of migration fear on crash risk is larger for firms with greater asymmetric information and firms with weaker monitoring mechanisms. We conclude that migration fear can significantly change risk tolerance in financial markets and affect stock price crash risk.