Stock Market Response to Private Corruption: The Moderation Role of Public Perceptions
研究了欧洲企业腐败事件对股票收益的影响，发现腐败事件导致负异常回报，尤其在公众感知腐败程度低的国家更显著，但严重事件中效应减弱。
ABSTRACT This study examines how corporate corruption events affect stock returns among European firms, focusing on the moderating role of public sector corruption perceptions measured by the Corruption Perceptions Index (CPI). Using over 25,000 firm‐level events from 2007 to 2022, the study finds that corruption events lead to negative abnormal returns, particularly in countries with low perceived corruption (high CPI scores). However, this effect weakens in more severe cases. The findings highlight the role of public perceptions in shaping investor reactions and offer insights for investors, policymakers and scholars on the financial consequences of corporate misconduct.