The Economic Consequences of Social Unrest: Evidence from Initial Public Offerings
研究发现社会动荡期间首次公开募股的首日回报率更低，表明动荡主要打击投资者情绪而非增加不确定性，且套利限制和本土偏好会加剧或缓解这一影响。
ABSTRACT Prior research attributes negative stock market performance following episodes of social unrest to elevated uncertainty. However, social unrest does not solely increase uncertainty but separately acts to decrease investor sentiment. To determine which effect dominates, we study initial public offering (IPO) underpricing, which responds differently to changes to uncertainty and investor sentiment. Consistent with the notion that social unrest dampens investor sentiment, we find that first‐day returns are lower during times of greater social unrest. Limits to arbitrage and elevated home‐country bias (strong institutional frameworks) intensify (mitigate) the impact of social unrest on underpricing.